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- W4252001056 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 $1/2leq H_{i}<1$ for $i=1,2$ . Pricing formulae of these options with respect to strike price $K=0$ or $Kneq 0$ are given, and their application to the real market is examined." @default.
- W4252001056 created "2022-05-12" @default.
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- W4252001056 date "2017-04-01" @default.
- W4252001056 modified "2023-09-27" @default.
- W4252001056 title "ON MULTI-ASSET SPREAD OPTION PRICING IN A WICK–ITÔ–SKOROHOD INTEGRAL FRAMEWORK" @default.
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- W4252001056 doi "https://doi.org/10.1017/s1446181117000220" @default.
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