J. G. O Hara - researchr alias

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Viewing Publication 1 - 5 from 5

2011

FFT based option pricing under a mean reverting process with stochastic volatility and jumpsE. Pillay, J. G. O Hara. jcam, 235(12):3378-3384, 2011. [doi]

Symmetry analysis of a model of stochastic volatility with time-dependent parametersChristodoulos Sophocleous, J. G. O Hara, P. G. L. Leach. jcam, 235(14):4158-4164, 2011. [doi]

2010

An analytic formula for the price of an American-style Asian option of floating strike typeS. Gounden, J. G. O Hara. amc, 217(7):2923-2936, 2010. [doi]

A note on the integrability of the classical portfolio selection modelV. Naicker, J. G. O Hara, P. G. L. Leach. appml, 23(9):1114-1119, 2010. [doi]

2008

An optimal system and group-invariant solutions of the Cox-Ingersoll-Ross pricing equationW. Sinkala, P. G. L. Leach, J. G. O Hara. amc, 201(1-2):95-107, 2008. [doi]

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