IDEAS home Printed from https://ideas.repec.org/a/eee/matcom/v242y2026icp121-124.html

Comments on “Pricing Asian options under the mixed fractional Brownian motion with jumps”

Author

Listed:
  • Guo, Zhidong

Abstract

Paper (Shokrollahi et al. [Mathematics and Computers in Simulation 226 (2024) 172-183]), addresses the pricing of geometric Asian options with jumps using a method analogous to that employed in non-jump scenarios. In this comment, based on the probability distribution of path variables, we will point out that the main conclusion of the paper is incorrect. More importantly, we aim to show that the conclusions drawn from non-jump models do not directly carry over to jump models when dealing with path-dependent options.

Suggested Citation

  • Guo, Zhidong, 2026. "Comments on “Pricing Asian options under the mixed fractional Brownian motion with jumps”," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 242(C), pages 121-124.
    • Handle: RePEc:eee:matcom:v:242:y:2026:i:c:p:121-124
    DOI: 10.1016/j.matcom.2025.11.006
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0378475425004719
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.matcom.2025.11.006?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    References listed on IDEAS

    as
    1. Ma, Pengcheng & Taghipour, Mehran & Cattani, Carlo, 2024. "Option pricing in the illiquid markets under the mixed fractional Brownian motion model," Chaos, Solitons & Fractals, Elsevier, vol. 182(C).
    2. Shokrollahi, F. & Ahmadian, D. & Ballestra, L.V., 2024. "Pricing Asian options under the mixed fractional Brownian motion with jumps," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 226(C), pages 172-183.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Zhang, Weiting & He, Guitian & Luo, Maokang & Liang, Wenjie, 2025. "Valuation of R&D projects of new energy vehicles based on generalized mixed sub-fractional Brownian motion under fuzzy environment," Applied Mathematics and Computation, Elsevier, vol. 507(C).

    More about this item

    Keywords

    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:matcom:v:242:y:2026:i:c:p:121-124. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/mathematics-and-computers-in-simulation/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.