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

Part of:Stochastic analysisMathematical financeHarmonic analysis in several variables

Published online by Cambridge University Press:  24 May 2017

XIANGXING TAOOpen the ORCID record for XIANGXING TAO[Opens in a new window] and
YAFENG SHI
XIANGXING TAO*
Affiliation:
School of Science, Zhejiang University of Science and Technology, Hangzhou, 310023, PR China email xxtao@zust.edu.cn
YAFENG SHI
Affiliation:
School of Science, Ningbo University of Technology, Ningbo, 315211, PR China email shiyafonglf@126.com
*
✉ xxtao@zust.edu.cn
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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.

Keywords

fractional stochastic equationspread optionBlack–Scholes marketfractional Itô formula

MSC classification

Primary:60H30: Applications of stochastic analysis (to PDE, etc.)
Secondary:42B20: Singular and oscillatory integrals (Calderón-Zygmund, etc.)91G20: Derivative securities91G80: Financial applications of other theories (stochastic control, calculus of variations, PDE, SPDE, dynamical systems)

Information

Type
Research Article
Information
The ANZIAM Journal , Volume 58 , Issue 3-4 , April 2017, pp. 386 - 396
Copyright
© 2017 Australian Mathematical Society 

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