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Corrigendum to “Pricing Asian options under the mixed fractional Brownian motion with jumps”

Author

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  • Shokrollahi, F.
  • Ahmadian, D.
  • Ballestra, L.V.

Abstract

We respond to the comment by Guo (2026), who identified an error in our paper “Pricing Asian options under the mixed fractional Brownian motion with jumps” (Shokrollahi et al., 2024). The main correction concerns the distributional treatment of the geometric-average log-return. The previous unconditional Gaussian representation is removed. In the revised formulation, the jump-case pricing expressions are based on a conditional Poisson-mixture moment-matching approximation constructed from the corrected first and second conditional moments. We emphasize that these formulas are approximations, not exact distributional theorems. The no-jump geometric cases remain exact, whereas the jump cases are interpreted as analytically tractable moment-matching approximations. The arithmetic-power extension is explicitly classified as semi-analytical because it requires numerical evaluation of the higher-order quantity E[A(T)m]. We also specify the truncation criterion for the Poisson series, discuss the absence of rigorous error bounds, and add numerical experiments under market-calibrated parameter values. Updated figures and tables are provided.

Suggested Citation

  • Shokrollahi, F. & Ahmadian, D. & Ballestra, L.V., 2026. "Corrigendum to “Pricing Asian options under the mixed fractional Brownian motion with jumps”," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 249(C), pages 98-109.
    • Handle: RePEc:eee:matcom:v:249:y:2026:i:c:p:98-109
    DOI: 10.1016/j.matcom.2026.04.044
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