Items where Author is "O'Hara, John G."

Ibrahim, Siti Nur Iqmal and Ng, Teck Wee and O'Hara, John G. 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. ISSN 1823-8343; ESSN: 2289-750X

Ibrahim, Siti Nur Iqmal and Hernandez, A. Diaz and O'Hara, John G. and Constantinou, Nick (2015) Pricing holder-extendable call options with mean-reverting stochastic volatility. The ANZIAM Journal, 61 (4). pp. 382-397. ISSN 1446-1811; ESSN: 1446-8735

Ibrahim, Siti Nur Iqmal and O'Hara, John G. and Constantinou, Nick (2014) Pricing extendible options using the fast Fourier transform. Mathematical Problems in Engineering, 2014. art. no. 831470. pp. 1-7. ISSN 1024-123X; ESSN: 1563-5147