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

Abstract

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. doi:10.1017/S1446181117000220