Items where Author is "O'Hara, JG"

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