VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION

By Vicky Henderson. 2002

279 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/beaeafa688bfa433e1b3895b82ba1ac6109f18f2

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Citations in the corpus

Asymptotic analysis of utility-based hedging strategies for small number of contingent claims (2007, background): “Henderson and Hobson [8] and Henderson [7] derive the first order expansion with respect to the number of contingent claims.”
Real options theory in strategic management (2017, unknown): “…of a real option’s value, including the underlying asset value (i.e., the value of the cash flows associated with the investment) or exercise cost (i.e., 3 For a discussion on incomplete markets or subjective utility-based risk averse entrepreneurial preferences see Henderson (2002, 2007).”
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].”
Utility indifference pricing : an overview (2009, methodology): “The exponential Brownian case was solved explicitly by Henderson and Hobson [39] and Henderson [33], see also Section 5.”
Utility–indifference hedging and valuation via reaction–diffusion systems (2004, unknown): “(Please check the journal for the final version.)”
Optimal hedging and parameter uncertainty (2007, methodology): “The utility-indifference approach to valuing such a position in the claim has been analysed byDavis(2006), Henderson(2002) andMusiela & Zariphopoulou(2004) among others.”
Mean field and n‐agent games for optimal investment under relative performance criteria (2017, background): “Similar problems have been studied in Henderson (2002) and Musiela and Zariphopoulou (2004), to which we refer the reader for more detailed arguments for the specific optimization problem at hand.”
The Wealth-Consumption Ratio (2008, unknown): “For example, the two series have a positive correlation of 20%, a number similar to what Lettau and Ludvigson (2005) estimate.”
An example of indifference prices under exponential preferences (2004, methodology): “While revising this work, we came across the paper by Henderson (2002) in which a special case of our model is investigated.”
Horizon-unbiased utility functions (2007, unknown): “Henderson [7] considers the investment timing problem where a lump-sum investment payoff is received for an investment cost, representing the option strike.”
Sensitivity analysis of utility-based prices and risk-tolerance wealth processes (2006, methodology): “al model and an arbitrary utility function Udeﬁned on the positive real line. Note that a similar asymptotic analysis of utility-based prices has been performed by Henderson and Hobson [7], Henderson [6] and Kallsen [12]. The papers [7] and [6] (in a more general case) study the second-order approxi”
Risk measure pricing and hedging in incomplete markets (2006, background): “An incomplete list of references includes Hodges and Neuberger [32], Davis [9], Karatzas and Kou [35], Frittelli [24], Foldes [16], Rouge and El Karoui [47], Kallsen [34], Henderson [30], Hugonnier, Kramkov and Schachermayer [33], Mania and Schweizer [40], and Henderson and Hobson [31].”