Working Papers:

Henderson V., Jacka S. and Liu R., 2021, The Support and Resistance Line Method: An Analysis via Optimal Stopping, arXiv:2103.02331

Brettschneider J., Burro G. and Henderson V., 2021, Not in my mind: the disposition effect is in the eyes of the beholder, SSRN Working paper Link opens in a new window

Published papers:

Brettschneider J., Burro G. and Henderson V., 2024, Make hay while the sun shines: An empirical study of maximum price, regret and trading decisions, SSRN Working paperLink opens in a new window, Journal of the European Economic Association. https://doi.org/10.1093/jeea/jvae028

Henderson V, Hobson D, and M. Zeng, 2023, Cautious Stochastic Choice, Optimal Stopping and Deliberate Randomization, Economic Theory, 75, 877-922. https://doi.org/10.1007/s00199-022-01428-2

Henderson V, Sun J. and A.E. Whalley, 2021, The Value of Being Lucky: Option Backdating and Non-Diversifiable Risk, International Journal of Theoretical and Applied Finance, 24(4), June 2021. https://doi.org/10.1142/S0219024921500230

Brettschneider J., Burro G. and Henderson V., 2021, Wide Framing Disposition Effect: An Empirical Study, Journal of Economic Behavior and Organisation, Volume 185, May 2021, 330-347. SSRN Working paper.Link opens in a new window

Henderson V, Kladivko K, M. Monoyios and C. Reisinger, 2020, Executive Stock Option Exercise with Full & Partial Information on a Drift Change Point, SIAM Journal on Financial Mathematics, 11(4), https://doi.org/10.1137/18M1222909 arXiv:1709.10141Link opens in a new window

Henderson V. and J. Muscat, 2020, Partial Liquidation under Reference-Dependent Preferences, Finance and Stochastics, 24, 335-357. Available at:

http://link.springer.com/article/10.1007/s00780-020-00421-8

Henderson V, Hobson D, and A.S.L. Tse, 2018, Probability Weighting, Stop-Loss and the Disposition Effect, Journal of Economic Theory, 178, 360-397. https://doi.org/10.1016/j.jet.2018.10.002  https://authors.elsevier.com/a/1Xtc-50waI6YE 

Henderson V, Hobson D, and M. Zeng, 2018, Optimal Stopping and the Sufficiency of Randomized Threshold Strategies, Electronic Communications in Probability, 23, 1-11. arXiv:1708.01038.

Henderson V, Hobson D, and A.S.L. Tse, 2017, Randomized Strategies and Prospect Theory in a Dynamic Context, Journal of Economic Theory, 168, 287-300. http://dx.doi.org/10.1016/j.jet.2017.01.003Link opens in a new window SSRN Working paper

Henderson V. and G. Liang, 2016, A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk, SIAM Journal on Control and Optimization, 54(2), 690–717.

Cvitanic J., Henderson V., and A. Lazrak, 2014, On Managerial Risk-taking Incentives when Compensation may be Hedged Against, Mathematics and Financial Economics, 8 (4), 453-471.

Henderson V. and G. Liang, 2014, Pseudo Linear Pricing Rule for Utility Indifference Valuation, Finance and Stochastics, 18, 3, 593-615. See http://www.math.ethz.ch/~finasto/Link opens in a new window

Henderson V., Sun J. and A.E. Whalley, 2014, Portfolios of American Options under General Preferences: Results and Counterexamples, Mathematical Finance, 24, 3, 533-566.

Henderson V, and D. Hobson, Risk Aversion, Indivisible Timing Options and Gambling, Operations Research, 61, 1, Jan/Feb, 2013, 126-137

Henderson V., 2012, Prospect Theory, Liquidation and the Disposition Effect, Management Science, 58, 2, February 2012, 445-460. SSRN: http://ssrn.com/abstract=1343761Link opens in a new window

Henderson V. and D. Hobson, 2011, Optimal Liquidation of Derivative Portfolios, Mathematical Finance, 21, 3, 2011, 365-382

Henderson V., 2010, Is Corporate Control Effective when Managers face Investment Timing Decisions in Incomplete Markets?, Journal of Economic Dynamics and Control, 34, 6, 1062-1076

Henderson V. and D. Hobson, Utility Indifference Pricing - An Overview, Chapter 2 of Indifference Pricing: Theory and Applications, ed. R. Carmona, Princeton University Press, 2009

Grasselli M. and V. Henderson, 2009, Risk Aversion and Block Exercise of Executive Stock Options, Journal of Economic Dynamics and Control, 33, 2009, 109-127

Henderson V., and D. Hobson, 2008, An explicit solution for an optimal stopping/optimal control problem which models an asset sale, Annals of Applied Probability, 18(5), 2008, 1681-1705

Henderson V. and D. Hobson, 2008, Perpetual American Options in Incomplete Markets: The Infinitely Divisible Case, Quantitative Finance, 8(5), August 2008, 461-469

Evans J., Henderson V. and D. Hobson, 2008, Optimal Timing for an Indivisible Asset Sale, Mathematical Finance, 18 (4), October 2008, 545-567

Henderson V. and D. Hobson, 2007, Horizon-Unbiased Utility Functions, with D. Hobson, Stochastic Processes and their Applications, Vol 117, Issue 11, 2007, 1621-1641

Henderson V., 2007, Valuing the Option to Invest in an Incomplete Market, Mathematics and Financial Economics, 1, 2, July 2007, 103-128

Henderson V., Hobson D. and T. Kluge,Is There an Informationally Passive Benchmark for Option Pricing Incorporating Maturity?, Quantitative Finance, 7(1), February 2007, 75-86

Henderson V. and D. Hobson, 2006, A Note on Irreversible Investment, Hedging and Optimal Consumption Problems, International Journal of Theoretical and Applied Finance, 9, 6, September 2006, 997-1007

Henderson V., 2005, Explicit Solutions to an Optimal Portfolio Choice Problem with Stochastic Income, Journal of Economic Dynamics and Control, 29(7), July 2005, 1237-1266

Henderson V., 2005, The Impact of the Market Portfolio on the Valuation, Incentives and Optimality of Executive Stock Options, Quantitative Finance, 5(1), February 2005, 1-13

Henderson V., and D. Hobson, 2002, Substitute Hedging, RISK, 15(5), May 2002, p71-75. Reprinted in Exotic Options: The Cutting Edge Collection, RISK Books, London, 2003

Henderson V. 2002, Valuation of Claims on Non-Traded Assets using Utility Maximization, Mathematical Finance, Vol 12, No 4, October 2002, p351-373

Henderson V. and D. Hobson, 2002, Real Options with Constant Relative Risk Aversion, Journal of Economic Dynamics and Control, Vol 27(2), Dec 2002, p329-355.

Option Pricing under Stochastic Volatility, Jumps

Henderson V. and D. Hobson, 2003, Coupling and Option Price Comparisons in a Jump Diffusion model, Stochastics and Stochastics Reports, Vol 75, 3, June 2003, p79-101

Henderson V, Hobson D., Howison S. and T. Kluge, 2005, A Comparison of Option Prices under Different Pricing Measures in a Stochastic Volatility Model with Correlation, Review of Derivatives Research, 8, 5-25, 2005

Henderson V., 2005, Analytical Comparisons of Option Prices in Stochastic Volatility models, Mathematical Finance, 15,1, Jan 2005, 49-59

Passport Options, Asian Options

Henderson V., Hobson D., Shaw W. and R. Wojakowski, 2007, Bounds for Floating-Strike Asian Options using Symmetry, Annals of Operations Research, 151, 81-98, 2007

Henderson V, and R. Wojakowski, 2002, On the Equivalence of Floating and Fixed-Strike Asian Options, Journal of Applied Probability, Vol 39, No 2, June 2002

Henderson V., Hobson D. and G. Kentwell, 2002, A New Class of Commodity Hedging Strategies: A Passport Option Approach, International Journal of Theoretical and Applied Finance, Vol 5, 3, 2002, p255-278

Henderson V. and D. Hobson, 2001, Passport Options with Stochastic Volatility, Applied Mathematical Finance, 8, 2, June 2001, p97-119

Henderson V., 2000, Price Comparison Results and Super-Replication: An Application to Passport Options, Appl. Stochastic Models Bus. Ind., Vol 16, 4, 2000 p297-310

Henderson V. and D. Hobson, 2000, Local Time, Coupling and the Passport Option, Finance and Stochastics, 4, 1, Jan 2000 p69-80

Other Publications:

Henderson V, Sun J. and A.E. Whalley, 2013, Executive Stock Options: Portfolio EffectsLink opens in a new window, SSRN Working paper, August 2013.

Employee Stock Options, with J. Sun, in Encyclopedia of Quantitative Finance, Cont R. (Ed). John Wiley and Sons Ltd. Chichester. UK. p561-566. 2010.

Passport Options, in Encyclopedia of Quantitative Finance, Cont R. (Ed). John Wiley and Sons Ltd. Chichester. UK. p1368-1372. 2010

Asian Options, in Encyclopedia of Quantitative Finance, Cont R. (Ed). John Wiley and Sons Ltd. Chichester. UK. p87-91. 2010

Average Strike Options, in Encyclopedia of Quantitative Finance, Cont R. (Ed). John Wiley and Sons Ltd. Chichester. UK. p120-122. 2010The Black Scholes Model, Encyclopedia of Actuarial Science, Eds: J. Teugels and B. Sundt, John Wiley and Sons, Ltd, 2004

Passport Options Outside the Black Scholes World, in Mathematical Finance, Birkhauser 2001, Eds M Kohlmann and S TangA Probabilistic Approach to

Passport Options, PhD thesis, University of Bath, 2000. Available from University Library or by request