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

4

DOWNLOADS

139

CITATIONS

0

Scholarly Papers (4)

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 (276,752)

Abstract:

Loading...

American exchange, American put, pricing options

2.

Highly Efficient Option Valuation Under the Double Jump Framework with Stochastic Volatility and Jump Intensity Based on Shannon Wavelet Inverse Fourier Technique

Number of pages: 22 Posted: 19 Dec 2017
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 (499,099)

Abstract:

Loading...

Shannon wavelets, Fourier cosine expansions, double exponential jump, stochastic volatility, stochastic intensity

3.

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 (366,065)

Abstract:

Loading...

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

4.

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:

Loading...

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