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Publications

Working Papers:

Henderson V, Hobson D, and M. Zeng, 2018, Cautious Stochastic Choice, Optimal Stopping and Deliberate Randomization, SSRN Working paper 23 January, 2018.

Henderson V. and J. Muscat, 2018, Partial Liquidation under Reference-Dependent Preferences, 10 January, 2018. Working paper

Henderson V, Kladivko K, and M. Monoyios, 2017, Executive Stock Option Exercise with Full & Partial Information on a Drift Change Point, arXiv:1709.10141, September 2017.

Henderson V, Sun J. and A.E. Whalley, 2017, The Value of Being ''Lucky'': Option Backdating and Non-Diversifiable Risk, SSRN Working paper, March, 2017.

Henderson V, Sun J. and A.E. Whalley, 2013, Executive Stock Options: Portfolio Effects, SSRN Working paper, August 2013

Published papers:

Henderson V, Hobson D, and A.S.L. Tse, 2018, Probability Weighting, Stop-Loss and the Disposition Effect, to appear in Journal of Economic Theory. SSRN Working paper, 12 August, 2016.

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 https://authors.elsevier.com/a/1UMLp50waEGrA 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

Other Publications:

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