On multi-asset spread option pricing in a Wick–Itô–Skorohod integral framework

Xiangxing Tao, Yafeng Shi


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.



fractional stochastic equation, spread option, Black–Scholes market, fractional Itô formula.

DOI: http://dx.doi.org/10.21914/anziamj.v58i0.11096

Remember, for most actions you have to record/upload into this online system
and then inform the editor/author via clicking on an email icon or Completion button.
ANZIAM Journal, ISSN 1446-8735, copyright Australian Mathematical Society.