Vicky Henderson

University of Warwick

Gibbet Hill Rd.

Coventry, West Midlands CV4 8UW

United Kingdom

SCHOLARLY PAPERS

22

DOWNLOADS
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4,417

SSRN CITATIONS
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SSRN RANKINGS

Top 8,006

in Total Papers Citations

54

CROSSREF CITATIONS

103

Scholarly Papers (22)

1.

Prospect Theory, Liquidation and the Disposition Effect

EFA 2009 Bergen Meetings Paper
Number of pages: 34 Posted: 17 Feb 2009 Last Revised: 03 Oct 2011
Vicky Henderson
University of Warwick
Downloads 789 (36,277)
Citation 12

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Prospect theory, behavioral finance, disposition effect, liquidation, optimal stopping

2.

Performance Based Compensation and Direct Earnings Management

Number of pages: 40 Posted: 03 Dec 2007 Last Revised: 13 Mar 2009
Antonio Camara and Vicky Henderson
Oklahoma State University, Stillwater - College of Business Administration and University of Warwick
Downloads 759 (38,238)
Citation 6

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Compensation, stock price manipulation, earnings management, ESO

3.

On the Equivalence of Floating and Fixed-Strike Asian Options

Journal of Applied Probability, Vol. 39, No. 2, pp. 391--394, 2002, LUMS Working Paper No. 2001/005
Number of pages: 7 Posted: 13 Dec 2001 Last Revised: 09 Mar 2008
Vicky Henderson and Rafal M. Wojakowski
University of Warwick and University of Surrey
Downloads 464 (72,257)
Citation 1

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Asian option, floating-strike Asian option, put call symmetry, change of numeraire, time reversal, Brownian motion

4.

A Comparison of Option Prices Under Different Pricing Measures in a Stochastic Volatility Model with Correlation

Number of pages: 34 Posted: 02 Jan 2004
Vicky Henderson, David G. Hobson, Sam Howison and Tino Kluge
University of Warwick, University of Bath - School of Mathematical Sciences, University of Oxford - Nomura Centre for Quantitative Finance, OCIAM and University of Oxford - Nomura Centre for Mathematical Finance
Downloads 461 (72,823)
Citation 8

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stochastic volatility, pricing measure, market price of volatility risk, Heston model

5.

Valuing the Option to Invest in an Incomplete Market

Number of pages: 35 Posted: 27 Jul 2004
Vicky Henderson
University of Warwick
Downloads 372 (93,660)
Citation 44

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Real options, risk-aversion, non-traded assets, investment under uncertainty, incomplete markets

6.

Randomized Strategies and Prospect Theory in a Dynamic Context

Number of pages: 29 Posted: 29 Nov 2014 Last Revised: 06 Jan 2017
Vicky Henderson, David Hobson and Alex S. L. Tse
University of Warwick, University of Warwick and Imperial College London
Downloads 334 (105,790)
Citation 6

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Behavioral economics, prospect theory, probability weighting, randomized strategies

7.

Probability Weighting, Stop-Loss and the Disposition Effect

Number of pages: 58 Posted: 16 Aug 2016 Last Revised: 06 Mar 2017
Vicky Henderson, David Hobson and Alex S. L. Tse
University of Warwick, University of Warwick and Imperial College London
Downloads 285 (125,496)
Citation 4

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Prospect theory, behavioral finance, disposition effect, investor trading behavior, probability weighting.

8.

A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk

Number of pages: 29 Posted: 17 Nov 2011 Last Revised: 21 Sep 2015
Vicky Henderson and Gechun Liang
University of Warwick and University of Warwick - Department of Statistics
Downloads 184 (191,443)
Citation 7

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utility indifference pricing, reaction-diffusion PDE with quadratic gradients, splitting method, monotone scheme, shaking the coefficients technique, counterparty risk

Portfolios of American Options Under General Preferences: Results and Counterexamples

WBS Finance Group Research Paper No. 153
Number of pages: 35 Posted: 28 Feb 2011 Last Revised: 26 Dec 2019
Vicky Henderson, A. Elizabeth Whalley and Jia Sun
University of Warwick, University of Warwick - Finance Group and China Credit Rating Co.,Ltd
Downloads 173 (202,157)

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employee stock options, American options, utility indifference pricing, option portfolios, optimal exercise

Portfolios of American Options Under General Preferences: Results and Counterexamples

Mathematical Finance, Vol. 24, Issue 3, pp. 533-566, 2014
Number of pages: 34 Posted: 11 Jun 2014
Vicky Henderson, Jia Sun and A. Elizabeth Whalley
University of Warwick, China Credit Rating Co.,Ltd and University of Warwick - Finance Group
Downloads 1 (781,343)
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American options, utility indifference pricing, employee stock options

10.

The Curious Incident of the Investment in the Market: Real Options and a Fair Gamble

AFA 2006 Boston Meetings Paper
Number of pages: 43 Posted: 24 Mar 2005
Jonathan D. Evans, Vicky Henderson and David G. Hobson
University of Bath, University of Warwick and University of Bath - School of Mathematical Sciences
Downloads 147 (231,658)
Citation 1

Abstract:

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Real assets, Perpetual options, Optimal stopping, Incomplete markets, Portfolio choice, Real options, Portfolio constraints

11.

Cautious Stochastic Choice, Optimal Stopping and Deliberate Randomization

Number of pages: 33 Posted: 16 Feb 2018 Last Revised: 03 Aug 2020
Vicky Henderson, David Hobson and Matthew Zeng
University of Warwick, University of Warwick and University of Warwick
Downloads 127 (259,949)
Citation 1

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Stochastic Choice, Cautious Stochastic Choice, Randomization, Optimal Stopping

12.

The Value of Being 'Lucky': Option Backdating and Non-Diversifiable Risk

Number of pages: 28 Posted: 21 Apr 2015 Last Revised: 04 May 2018
Vicky Henderson, Jia Sun and A. Elizabeth Whalley
University of Warwick, China Credit Rating Co.,Ltd and University of Warwick - Finance Group
Downloads 125 (263,146)
Citation 1

Abstract:

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American options, lookback options, Option backdating, executive stock options, utility indifference pricing

13.

Executive Stock Options: Portfolio Effects

WBS Finance Group Research Paper No. 177
Number of pages: 69 Posted: 18 Mar 2012 Last Revised: 26 Dec 2019
Vicky Henderson, A. Elizabeth Whalley and Jia Sun
University of Warwick, University of Warwick - Finance Group and China Credit Rating Co.,Ltd
Downloads 84 (343,765)
Citation 2

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executive stock options, employee stock options,executive compensation, option portfolios, risk aversion, exercise thresholds

14.

Make Hay While the Sun Shines: An Empirical Study of Maximum Price, Regret and Trading Decisions

Number of pages: 36 Posted: 23 Nov 2020
Julia Brettschneider, Giovanni Burro and Vicky Henderson
University of Warwick, Bocconi University and IGIER and University of Warwick
Downloads 30 (540,046)

Abstract:

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Regret Theory, Trading, Threshold, Maximum Price

15.

Analytical Comparisons of Option Prices in Stochastic Volatility Models

Number of pages: 11 Posted: 30 Dec 2004
Vicky Henderson
University of Warwick
Downloads 28 (551,393)
Citation 1
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16.

Not in my mind: The disposition effect is in the eyes of the beholder

Number of pages: 25 Posted: 18 Feb 2021
Julia Brettschneider, Giovanni Burro and Vicky Henderson
University of Warwick, Bocconi University and IGIER and University of Warwick
Downloads 24 (576,042)

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Disposition effect, Reference point, Stock market, Behavioural bias, Individual investors

17.

Wide Framing Disposition Effect: An Empirical Study

Number of pages: 36 Posted: 18 Feb 2021
Julia Brettschneider, Giovanni Burro and Vicky Henderson
University of Warwick, Bocconi University and IGIER and University of Warwick
Downloads 17 (622,348)

Abstract:

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Disposition Effect, Wide Framing, Portfolio Disposition Effect, Stock Market

18.

Valuation of Claims on Nontraded Assets Using Utility Maximization

Number of pages: 23 Posted: 07 Feb 2003
Vicky Henderson
University of Warwick
Downloads 8 (686,870)
Citation 3
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19.

Optimal Timing for an Indivisible Asset Sale

Mathematical Finance, Vol. 18, Issue 4, pp. 545-567, October 2008
Number of pages: 23 Posted: 19 Sep 2008
Jonathan D. Evans, Vicky Henderson and David Hobson
University of Bath, University of Warwick and University of Warwick
Downloads 3 (724,507)
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20.

Optimal Liquidation of Derivative Portfolios

Mathematical Finance, Vol. 21, Issue 3, pp. 365-382, 2011
Number of pages: 18 Posted: 20 May 2011
Vicky Henderson and David Hobson
University of Warwick and University of Warwick
Downloads 2 (734,260)
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portfolio liquidation, utility maximization, calculus of variations, optimal strategy, price impact

21.

Bounds for In-Progress Floating-Strike Asian Options Using Symmetry

Annals of Operation Research, Vol. 151, No. 1, 2007
Posted: 06 Mar 2008
University of Warwick, University of Warwick, King's College, London and University of Surrey

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Asian options, Floating strike Asian options, Put call symmetry, Bounds, Change of numéraire

22.

Local Time, Coupling and the Passport Option

Posted: 17 Nov 1999
Vicky Henderson and David G. Hobson
University of Warwick and University of Bath - School of Mathematical Sciences

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