Real options with constant relative risk aversion

By Vicky Henderson, David Hobson *. 2002

88 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/23051dba6f773757ed7872ba970d1f465ff529fe

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

Citations in the corpus

Asymptotic analysis of utility-based hedging strategies for small number of contingent claims (2007, unknown): “Henderson and Hobson [8] and Henderson [7] derive the first order expansion with respect to the number of contingent claims.”
Sensitivity analysis of utility-based prices and risk-tolerance wealth processes (2006, unknown): “We consider an European option written on a nontraded, but observable asset Q, when the investor can trade into a highly correlated asset S. A similar pricing problem was previously studied in [ 7 ] and later in [6] for power and exponential utilities.”
Share restrictions and asset pricing: Evidence from the hedge fund industry (2007, background): “The coefficients, b4 and b5, provide a test of whether the return/share restriction relation is linear.(38) Panel A of Figure 1 shows the histogram of the 2135 fund ‘unconditional’ alphas from the lagged market model (LMM).”
Utility–indifference hedging and valuation via reaction–diffusion systems (2004, background): “Let us single out the works by Davis (2000, unpublished), Henderson & Hobson (2002), Henderson (2002) and Musiela & Zariphopoulou (2002, unpublished), and refer to section 4.3 in Delbaen et al. (2002) for a survey with further references.”
Horizon-unbiased utility functions (2007, methodology): “It has been used by Davis [2], Henderson and Hobson [8], Henderson [6], and others in the context of the pricing and hedging of options in incomplete markets via utility indifference pricing, where the main source of incompleteness is the fact that some assets are not liquidly traded.”
Valuing the option to invest in an incomplete market (2007, background): “The work of Henderson (2002) and Henderson and Hobson (2002) considers European style options and as such, cannot make conclusions concerning optimal investment behavior.”
Optimal Hedging with Basis Risk (2006, result): “Meanwhile other authors including Akahori [1], Henderson and Hobson [7], [8], [ 9 ], and Musiela and Zariphopoulou [14], had joined the party with alternative approaches and new results.”
Utility indifference pricing : an overview (2009, background): “Again the above simplifications can be used to reduce the dimension of the problem (see Henderson and Hobson [39]) except that in this case it is not possible to remove the dependence on y. Suppose that the agent has exponential utility.”
Paper millionaires: how valuable is stock to a stockholder who is restricted from selling it? ☆ (2001, unknown): “In an independent paper, Henderson and Hobson (2001) develop a model similar to ours in which an agent is unable to trade shares and offer a series-based approximation for the optimal solution that is valid only for small values of X.”
Performance of utility-based strategies for hedging basis risk (2004, methodology): “This technique is called distortion by Zariphopoulou [22] and is also employed in [8, 9].”