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Stochastic volatility models, correlation, and the q-optimal measure

Hobson, David G. - In: Mathematical finance : an international journal of … 14 (2004) 4, pp. 537-556

Persistent link: https://www.econbiz.de/10002396346

A comparison of q-optimal option prices in a stochastic volatility model with correlation

Henderson, Vicky; Hobson, David G.; Howison, Sam; … - 2003

Persistent link: https://www.econbiz.de/10009581657

Coupling and option price comparisons in a jumb-diffusion model

Henderson, Vicky; Hobson, David G. - 2002

Persistent link: https://www.econbiz.de/10009581663

A comparison of option prices under different pricing measures in a stochastic volatility model with correlation

Henderson, Vicky; Hobson, David G.; Howison, Sam; … - In: Review of derivatives research 8 (2005) 1, pp. 5-25

Persistent link: https://www.econbiz.de/10002975937

Maximizing the probability of a perfect hedge using an imperfectly correlated instrument

Hobson, David G.; Penn, Jeremy - In: International journal of theoretical and applied finance 8 (2005) 6, pp. 763-790

Persistent link: https://www.econbiz.de/10003133872

Bounds for the utility-indifference prices of non-traded assets in incomplete markets

Hobson, David G. - In: Decisions in economics and finance : DEF ; a journal of … 28 (2005) 1, pp. 33-52

Persistent link: https://www.econbiz.de/10003048352

Passport options with stochastic volatility

Henderson, Vicky; Hobson, David G. - In: Applied mathematical finance 8 (2001) 2, pp. 97-118

Persistent link: https://www.econbiz.de/10001628628

Complete models with stochastic volatility

Hobson, David G. - In: Mathematical finance : an international journal of … 8 (1998) 1, pp. 27-48

Persistent link: https://www.econbiz.de/10001240799

Cautious Stochastic Choice, Optimal Stopping and Deliberate Randomization

Henderson, Vicky - 2020

We study Cautious Stochastic Choice (CSC) agents facing optimal timing decisions in a dynamic setting. In an expected utility setting, the optimal strategy is always a threshold strategy - to stop/sell the first time the price process exits an interval. In contrast, we show that in the CSC...

Persistent link: https://www.econbiz.de/10012852914

The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I : foundations

Herdegen, Martin; Hobson, David G.; Jerome, Joseph - In: Finance and stochastics 27 (2023) 1, pp. 127-158

Persistent link: https://www.econbiz.de/10013489501