ON MULTI-ASSET SPREAD OPTION PRICING IN A WICK–ITÔ–SKOROHOD INTEGRAL FRAMEWORK (Q5370794)

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scientific article; zbMATH DE number 6794579
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ON MULTI-ASSET SPREAD OPTION PRICING IN A WICK–ITÔ–SKOROHOD INTEGRAL FRAMEWORK
scientific article; zbMATH DE number 6794579

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    ON MULTI-ASSET SPREAD OPTION PRICING IN A WICK–ITÔ–SKOROHOD INTEGRAL FRAMEWORK (English)
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    20 October 2017
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    fractional stochastic equation
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    spread option
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    Black-Scholes market
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    fractional Itô formula
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