On multi-asset spread option pricing in a Wick–Itô–Skorohod integral framework
Tao, Xiangxing ; Shi, Yafeng
ANZIAM Journal, Tome 58 (2017), / Harvested from Australian Mathematical Society
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We provide an elementary method for exploring pricing problems of one spread options within a fractional Wick–Itô–Skorohod integral framework. Its underlying assets come from two different interactive markets that are modelled by two mixed fractional Black–Scholes models with Hurst parameters, \(H_1\neq H_2\), where \(1/2\leq H_i

Publié le : 2017-01-01
DOI : https://doi.org/10.21914/anziamj.v58i0.11096 
@article{11096,
     title = {On multi-asset spread option pricing in a Wick--It\^o--Skorohod  integral framework},
     journal = {ANZIAM Journal},
     volume = {58},
     year = {2017},
     doi = {10.21914/anziamj.v58i0.11096},
     language = {EN},
     url = {http://dml.mathdoc.fr/item/11096}
}

Tao, Xiangxing; Shi, Yafeng. On multi-asset spread option pricing in a Wick–Itô–Skorohod  integral framework. ANZIAM Journal, Tome 58 (2017) . doi : 10.21914/anziamj.v58i0.11096. http://gdmltest.u-ga.fr/item/11096/