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., 2020, Make hay while the sun shines: An empirical study of maximum price, regret and trading decisions, SSRN Working paper, October 2020.
Henderson V, Hobson D, and M. Zeng, 2018, Cautious Stochastic Choice, Optimal Stopping and Deliberate Randomization, SSRN Working paper
Henderson V, Sun J. and A.E. Whalley, 2013, Executive Stock Options: Portfolio Effects, SSRN Working paper, August 2013.
Henderson V, Sun J. and A.E. Whalley, 2021, The Value of Being Lucky: Option Backdating and Non-Diversifiable Risk, to appear in International Journal of Theoretical and Applied Finance, SSRN Working paper
Brettschneider J., Burro G. and Henderson V., 2020, Wide Framing Disposition Effect: An Empirical Study, to appear in Journal of Economic Behavior and Organisation, SSRN Working paper.
Henderson V, Kladivko K, M. Monoyios and C. Reisinger, 2020, Executive Stock Option Exercise with Full & Partial Information on a Drift Change Point, to appear in SIAM Journal on Financial Mathematics, arXiv:1709.10141
Henderson V. and J. Muscat, 2020, Partial Liquidation under Reference-Dependent Preferences, Finance and Stochastics, 24, 335-357. Available at:
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.2017.01.003 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/
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=1343761
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
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