Vicky Henderson

Publication Activity (10 Years)

Years Active: 2000-2020
Publications (10 Years): 4

Top Topics

Weighting Schemes

Highest Probability

Prospect Theory

Top Venues

J. Econ. Theory

Finance Stochastics

SIAM J. Financial Math.

Publications

Vicky Henderson, Kamil Kladívko, Michael Monoyios, Christoph Reisinger
Executive Stock Option Exercise with Full and Partial Information on a Drift Change Point. SIAM J. Financial Math. 11 (4) (2020)
Vicky Henderson, David Hobson, Alex S. L. Tse
Probability weighting, stop-loss and the disposition effect. J. Econ. Theory 178 (2018)
Vicky Henderson, David Hobson, Alex S. L. Tse
Randomized strategies and prospect theory in a dynamic context. J. Econ. Theory 168 (2017)
Vicky Henderson, Gechun Liang
A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk. SIAM J. Control. Optim. 54 (2) (2016)
Vicky Henderson, Gechun Liang
Pseudo linear pricing rule for utility indifference valuation. Finance Stochastics 18 (3) (2014)
Vicky Henderson, David Hobson
Risk Aversion, Indivisible Timing Options, and Gambling. Oper. Res. 61 (1) (2013)
Vicky Henderson
Prospect Theory, Liquidation, and the Disposition Effect. Manag. Sci. 58 (2) (2012)
Vicky Henderson, David Hobson, William Shaw, Rafal Wojakowski
Bounds for in-progress floating-strike Asian options using symmetry. Ann. Oper. Res. 151 (1) (2007)
Vicky Henderson, David Hobson
Local time, coupling and the passport option. Finance Stochastics 4 (1) (2000)