John G O'Hara

University of Essex - Centre for Computational Finance and Economic Agents

Wivenhoe Park

Colchester, Essex CO4 3SQ

United Kingdom

University of KwaZulu-Natal

Umbilo Road

Durban 4000, KZN 4000

South Africa

SCHOLARLY PAPERS

3

DOWNLOADS

115

CITATIONS

0

Scholarly Papers (3)

1.

An Analytic Formula for the Price of American Exchange Options

Number of pages: 17 Posted: 13 May 2009 Last Revised: 15 May 2009
S. Gounden and John G O'Hara
affiliation not provided to SSRN and University of Essex - Centre for Computational Finance and Economic Agents
Downloads 73 (259,799)

Abstract:

American exchange, American put, pricing options

2.

Efficient Pricing of Discrete Arithmetic Asian Options Under Mean Reversion and Jumps Based on Fourier-Cosine Expansions

Forthcoming in Journal of Computational and Applied Mathematics
Number of pages: 15 Posted: 30 Jul 2016
Chun-Sung Huang, John G O'Hara and Sure Mataramvura
University of Cape Town (UCT) - Department of Finance and Tax, University of Essex - Centre for Computational Finance and Economic Agents and University of Cape Town (UCT)
Downloads 0 (362,497)

Abstract:

Arithmetic Asian options, Fourier-cosine expansions, Fast Fourier transform, Mean reverting process, Jump diffusion

3.

Portfolio Valuation Under Liquidity and Expected Shortfall Constraints

Posted: 24 Jul 2016
Hwayoung Lee, Nick Constantinou and John G O'Hara
University of Essex - Centre for Computational Finance and Economic Agents, University of Essex - Essex Business School and University of Essex - Centre for Computational Finance and Economic Agents

Abstract:

Liquidity Risk, Portfolio Valuation, Market Impact, MSDC, Expected Shortfall