• English
  • Deutsch
  • Log In
    or
  • Research Outputs
  • Projects
  • Researchers
  • Institutes
  • Statistics
Repository logo
Fraunhofer-Gesellschaft
  1. Home
  2. Fraunhofer-Gesellschaft
  3. Artikel
  4. Note on "The smoothing effect of integration in R and the ANOVA decomposition''
 
  • Details
  • Full
Options
2017
  • Zeitschriftenaufsatz

Titel

Note on "The smoothing effect of integration in R and the ANOVA decomposition''

Abstract
This is a note on Math. Comp. 82 (2013), 383-400. 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.
Author(s)
Griebel, M.
Kuo, F.Y.
Sloan, I.H.
Zeitschrift
Mathematics of computation
Thumbnail Image
DOI
10.1090/mcom/3172
Externer Link
Externer Link
Language
Englisch
google-scholar
SCAI
  • Cookie settings
  • Imprint
  • Privacy policy
  • Api
  • Send Feedback
© 2022