38 citations · 40 across the 3 of their papers we have counts for
6 papers
The Support and Resistance Line Method: An Analysis via Optimal Stopping
Vicky Henderson, Saul Jacka, Ruiqi Liu +1
We study a mathematical model motivated by the support/resistance line method in technical analysis where the underlying stock price transitions between three states of nature in a…
Executive stock option exercise with full and partial information on a drift change point
Vicky Henderson, Kamil Kladívko, Michael Monoyios +1
We analyse the optimal exercise of an executive stock option (ESO) written on a stock whose drift parameter falls to a lower value at a change point, an exponentially distributed r…
Optimal Stopping and the Sufficiency of Randomized Threshold Strategies
Vicky Henderson, David Hobson, Matthew Zeng
In a classical optimal stopping problem the aim is to maximize the expected value of a functional of a diffusion evaluated at a stopping time. This note considers optimal stopping…
Pseudo Linear Pricing Rule for Utility Indifference Valuation
Vicky Henderson, Gechun Liang
This paper considers exponential utility indifference pricing for a multidimensional non-traded assets model, and provides two linear approximations for the utility indifference pr…
A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk
Vicky Henderson, Gechun Liang
This paper considers exponential utility indifference pricing for a multidimensional non-traded assets model subject to inter-temporal default risk, and provides a semigroup approx…
An explicit solution for an optimal stopping/optimal control problem which models an asset sale
Vicky Henderson, David Hobson
In this article we study an optimal stopping/optimal control problem which models the decision facing a risk-averse agent over when to sell an asset. The market is incomplete so th…