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ON MULTI-ASSET SPREAD OPTION PRICING IN A WICK–ITÔ–SKOROHOD INTEGRAL FRAMEWORK
Published online by Cambridge University Press: 24 May 2017
Abstract
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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 
$1/2\leq H_{i}<1$ for 
$i=1,2$ . Pricing formulae of these options with respect to strike price 
$K=0$ or 
$K\neq 0$ are given, and their application to the real market is examined.
MSC classification
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- © 2017 Australian Mathematical Society
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