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Comment: “On Approximating Deep in‐the‐money Asian Options Under Exponential Lévy Processes”

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  • Xianming Sun
  • Dorien Haesen
  • Michèle Vanmaele

Abstract

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

Suggested Citation

  • Xianming Sun & Dorien Haesen & Michèle Vanmaele, 2015. "Comment: “On Approximating Deep in‐the‐money Asian Options Under Exponential Lévy Processes”," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(12), pages 1220-1221, December.
    • Handle: RePEc:wly:jfutmk:v:35:y:2015:i:12:p:1220-1221
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