Vicky Henderson

University of Warwick

Gibbet Hill Rd.

Coventry, West Midlands CV4 8UW

United Kingdom

University of Oxford - Oxford Man Institute

Eagle House

Walton Well Road

Oxford, Oxfordshire OX2 6ED

United Kingdom

SCHOLARLY PAPERS

18

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3,722

CITATIONS
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Top 5,472

in Total Papers Citations

94

Scholarly Papers (18)

1.

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 689 (28,903)

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Compensation, stock price manipulation, earnings management, ESO

2.

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 624 (29,511)
Citation 5

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

3.

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 438 (53,585)
Citation 8

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

4.

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 374 (59,390)
Citation 6

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

5.

Valuing the Option to Invest in an Incomplete Market

Number of pages: 35 Posted: 27 Jul 2004
Vicky Henderson
University of Warwick
Downloads 325 (72,849)
Citation 34

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

Portfolios of American Options Under General Preferences: Results and Counterexamples

Number of pages: 35 Posted: 28 Feb 2011 Last Revised: 18 Mar 2014
Vicky Henderson, A. Elizabeth Whalley and Jia Sun
University of Warwick, University of Warwick - Finance Group and China Credit Rating Co.,Ltd
Downloads 158 (160,304)
Citation 1

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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 (587,865)
Citation 1
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American options, utility indifference pricing, employee stock options

7.

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 151 (147,279)

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

8.

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 of Cambridge - Judge Business School
Downloads 134 (91,841)

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Behavioral economics, prospect theory, probability weighting, randomized strategies

9.

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 132 (178,308)
Citation 2

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

10.

Executive Stock Options: Portfolio Effects

Number of pages: 69 Posted: 18 Mar 2012 Last Revised: 18 Mar 2014
Vicky Henderson, A. Elizabeth Whalley and Jia Sun
University of Warwick, University of Warwick - Finance Group and China Credit Rating Co.,Ltd
Downloads 45 (277,800)

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

11.

Analytical Comparisons of Option Prices in Stochastic Volatility Models

Mathematical Finance, Vol. 15, No. 1, pp. 49-59, January 2005
Number of pages: 11 Posted: 30 Dec 2004
Vicky Henderson
University of Warwick
Downloads 27 (415,356)
Citation 8
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12.

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

Number of pages: 32 Posted: 21 Apr 2015 Last Revised: 21 Mar 2017
Vicky Henderson, Jia Sun and A. Elizabeth Whalley
University of Warwick, China Credit Rating Co.,Ltd and University of Warwick - Finance Group
Downloads 22 (246,543)

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

13.

Valuation of Claims on Nontraded Assets Using Utility Maximization

Mathematical Finance, Vol. 12, pp. 351-373, 2002
Number of pages: 23 Posted: 07 Feb 2003
Vicky Henderson
University of Warwick
Downloads 7 (517,507)
Citation 24
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14.

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 (541,381)
Citation 1
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15.

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 (548,742)
Citation 5
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portfolio liquidation, utility maximization, calculus of variations, optimal strategy, price impact

16.

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 of Cambridge - Judge Business School
Downloads 0 (175,259)

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

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 Surrey

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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

Finance and Stochastics, Vol. 4, Iss. 1
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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