Comment: "On Approximating Deep in-the-money Asian Options Under Exponential Lévy Processes"

Comment: "On Approximating Deep in-the-money Asian Options Under Exponential Lévy Processes"

The approximation in Tchuindjo (2012) for the value of the in‐the‐money arithmetic Asian options in the exponential Lévy setting is shown to be an upper bound, which cannot be smaller than the optimal upper bound derived in Albrecher et al. (2005). Consequently, some of the results in Table VIII of...

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Veröffentlicht in:The journal of futures markets 2015-12, Vol.35 (12), p.1220-1221
Hauptverfasser: Sun, Xianming, Haesen, Dorien, Vanmaele, Michèle
Format: Artikel
Sprache:eng
Schlagworte:
Approximation
Asia
Options markets
Stochastic models
Studies
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Zusammenfassung:The approximation in Tchuindjo (2012) for the value of the in‐the‐money arithmetic Asian options in the exponential Lévy setting is shown to be an upper bound, which cannot be smaller than the optimal upper bound derived in Albrecher et al. (2005). Consequently, some of the results in Table VIII of Tchuindjo (2012) are inaccurate. © 2015 Wiley Periodicals, Inc. Jrl Fut Mark 35:1220–1221, 2015
ISSN:0270-7314
1096-9934
DOI:10.1002/fut.21733