Vicky Henderson

University of Warwick

Gibbet Hill Rd.

Coventry, West Midlands CV4 8UW

United Kingdom

SCHOLARLY PAPERS

18

DOWNLOADS
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Top 17,747

in Total Papers Downloads

5,331

SSRN CITATIONS
Rank 13,305

SSRN RANKINGS

Top 13,305

in Total Papers Citations

76

CROSSREF CITATIONS

38

Scholarly Papers (18)

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 865 (52,702)
Citation 23

Abstract:

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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 807 (57,870)
Citation 6

Abstract:

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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
University of Warwick and University of SurreyLancaster University - Management School
Downloads 594 (85,932)
Citation 2

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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 and University of Oxford - Nomura Centre for Mathematical Finance
Downloads 489 (109,357)
Citation 8

Abstract:

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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 430 (127,372)
Citation 46

Abstract:

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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 University College London
Downloads 372 (150,100)
Citation 8

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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 University College London
Downloads 345 (163,025)
Citation 4

Abstract:

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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 210 (268,623)
Citation 7

Abstract:

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

9.

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 197 (284,783)

Abstract:

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

10.

Cautious Stochastic Choice, Optimal Stopping and Deliberate Randomization

Number of pages: 40 Posted: 16 Feb 2018 Last Revised: 17 Mar 2022
Vicky Henderson, David Hobson and Matthew Zeng
University of Warwick, University of Warwick and University of Warwick
Downloads 182 (305,626)
Citation 3

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Stochastic Choice, Cautious Stochastic Choice, Randomization, Optimal Stopping

11.

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 172 (321,295)
Citation 1

Abstract:

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

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 164 (334,748)
Citation 1

Abstract:

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

13.

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

forthcoming the Journal of the European Economic Association
Number of pages: 44 Posted: 23 Nov 2020 Last Revised: 20 Feb 2024
Julia Brettschneider, Giovanni Burro and Vicky Henderson
University of Warwick - Department of Statistics, Heidelberg University - Alfred Weber Institute for Economics and University of Warwick
Downloads 149 (364,622)
Citation 2

Abstract:

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Regret Theory, Trading, Threshold, Maximum Price

14.

Wide Framing Disposition Effect: An Empirical Study

Journal of Economic Behavior & Organization, Volume 185, May 2021, Pages 330-347
Number of pages: 36 Posted: 18 Feb 2021 Last Revised: 24 May 2021
Julia Brettschneider, Giovanni Burro and Vicky Henderson
University of Warwick - Department of Statistics, Heidelberg University - Alfred Weber Institute for Economics and University of Warwick
Downloads 124 (418,477)

Abstract:

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

15.

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 118 (434,362)
Citation 2

Abstract:

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

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 - Department of Statistics, Heidelberg University - Alfred Weber Institute for Economics and University of Warwick
Downloads 113 (448,660)
Citation 2

Abstract:

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

17.

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 SurreyLancaster University - Management School

Abstract:

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

18.

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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