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

DOI10.1017/S1446181117000220zbMath1374.60124OpenAlexW4252001056MaRDI QIDQ5370794

Yafeng Shi, Xiang Xing Tao

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

zbMATH Keywords

fractional Itô formulafractional stochastic equationBlack-Scholes marketspread option

Mathematics Subject Classification ID

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)

Cites Work

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• Option pricing in fractional Brownian markets
• Coherent global market simulations and securitization measures for counterparty credit risk
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• Multi-asset spread option pricing and hedging
• A Fourier Transform Method for Spread Option Pricing
• 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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