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Items where Author is "O'Hara, JG"

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Number of items: 12.

Article

Ibrahim, SNI and Díaz-Hernández, A and O'Hara, JG and Constantinou, N (2019) Pricing holder-extendable call options with mean-reverting stochastic volatility. ANZIAM Journal, 61 (4). pp. 382-397. DOI https://doi.org/10.1017/S1446181119000142

Ibrahim, SNI and Ng, TW and O'Hara, JG and Nawawi, A (2017) Pricing holder-extendable options in a stochastic volatility model with an ornstein-uhlenbeck process. Malaysian Journal of Mathematical Sciences, 11 (1). pp. 1-8.

Ibrahim, SNI and O'Hara, JG and Zaki, MSM (2016) Pricing Formula for Power Options with Jump-Diffusion. Applied Mathematics and Information Sciences, 10 (4). pp. 1313-1317. DOI https://doi.org/10.18576/amis/100410

Charalambous, K and Sophocleous, C and O'Hara, JG and Leach, PGL (2015) A deductive approach to the solution of the problem of optimal pairs trading from the viewpoint of stochastic control with time-dependent parameters. Mathematical Methods in the Applied Sciences, 38 (17). pp. 4448-4460. DOI https://doi.org/10.1002/mma.3383

Okelola, MO and Govinder, KS and O'Hara, JG (2015) Solving a partial differential equation associated with the pricing of power options with time-dependent parameters. Mathematical Methods in the Applied Sciences, 38 (14). pp. 2901-2910. DOI https://doi.org/10.1002/mma.3249

Ibrahim, S and O'Hara, JG and Constantinou, N (2013) Pricing Power Options under the Heston Dynamics using the FFT. New Trends in Mathematical Sciences, 1 (1). pp. 1-9.

Caister, NC and Govinder, KS and O'Hara, JG (2011) Optimal system of Lie group invariant solutions for the Asian option PDE. Mathematical Methods in the Applied Sciences, 34 (11). pp. 1353-1365. DOI https://doi.org/10.1002/mma.1444

Sinkala, W and Leach, PGL and O'Hara, JG (2011) Embedding the Vasicek model into the Cox-Ingersoll-Ross model. Mathematical Methods in the Applied Sciences, 34 (2). pp. 152-159. DOI https://doi.org/10.1002/mma.1342

Caister, NC and O'Hara, JG and Govinder, KS (2010) Solving the Asian Option PDE Using LIE Symmetry Methods. International Journal of Theoretical and Applied Finance, 13 (08). pp. 1265-1277. DOI https://doi.org/10.1142/s0219024910006194

Sinkala, W and Leach, PGL and O'Hara, JG (2008) Invariance properties of a general bond-pricing equation. Journal of Differential Equations, 244 (11). pp. 2820-2835. DOI https://doi.org/10.1016/j.jde.2008.02.044

Sinkala, W and Leach, PGL and O'Hara, JG (2008) Zero-coupon bond prices in the Vasicek and CIR models: Their computation as group-invariant solutions. Mathematical Methods in the Applied Sciences, 31 (6). pp. 665-678. DOI https://doi.org/10.1002/mma.935

Sinkala, W and Leach, PGL and O'Hara, JG (2008) An optimal system and group-invariant solutions of the Cox-Ingersoll-Ross pricing equation. Applied Mathematics and Computation, 201 (1-2). pp. 95-107. DOI https://doi.org/10.1016/j.amc.2007.12.008

This list was generated on Tue Jan 31 16:43:58 2023 GMT.