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Hier finden Sie wissenschaftliche Publikationen aus den FraunhoferInstituten. Note on "The smoothing effect of integration in R and the ANOVA decomposition''
 Mathematics of computation 86 (2017), No.306, pp.18471854 ISSN: 00255718 ISSN: 10886842 

 English 
 Journal Article, Electronic Publication 
 Fraunhofer SCAI () 
Abstract
This is a note on Math. Comp. 82 (2013), 383400. We first report a mistake, in that the main result Theorem 3.1, though correct, does not as claimed apply to the Asian option pricing problem. This is because assumption (3.3) in the theorem is not satisfied by the Asian option pricing problem. In this note we present a strengthened theorem, which removes that assumption. The new theorem is immediately applicable to the Asian option pricing problem with the standard and Brownian bridge constructions. Thus the option pricing conclusions of our original paper stand.