ON MULTI-ASSET SPREAD OPTION PRICING IN A WICK–ITÔ–SKOROHOD INTEGRAL FRAMEWORK
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Publication:5370794
DOI10.1017/S1446181117000220zbMath1374.60124OpenAlexW4252001056MaRDI QIDQ5370794
Publication date: 20 October 2017
Published in: The ANZIAM Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s1446181117000220
Singular and oscillatory integrals (Calderón-Zygmund, etc.) (42B20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
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- A General Fractional White Noise Theory And Applications To Finance
- Pricing and Hedging Spread Options
- Stochastic Calculus for Fractional Brownian Motion and Applications
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