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Comment: “On Approximating Deep in‐the‐money Asian Options Under Exponential Lévy Processes”
Author(s) -
Sun Xianming,
Haesen Dorien,
Vanmaele Michèle
Publication year - 2015
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.21733
Subject(s) - exponential function , value (mathematics) , mathematical economics , upper and lower bounds , mathematics , table (database) , asian option , economics , econometrics , statistics , computer science , valuation of options , mathematical analysis , data mining
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