Note on “The smooting effect of integration in ℝd and the ANOVA decomposition”
Note on “The smooting effect of integration in ℝd and the ANOVA decomposition”
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2015Publisher
Institut für Numerische Simulation (INS)Publisher Location
BonnMetadata
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Citable Link (Handle URI) 
https://hdl.handle.net/20.500.11811/11894
Abstract
This is a note on [Math. Comp. 82, 383–400 (2013)]. 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.
Classification (DDC)
510 Mathematik 518 Numerische AnalysisFirst Publication
https://ins.uni-bonn.de/publication/preprintsPart of Series
INS Preprints ; 1513Griebel, Michael; Kuo, Frances Y.; Sloan, Ian H.: Note on “The smooting effect of integration in ℝd and the ANOVA decomposition”. In: INS Preprints, 1513.
Online-Ausgabe in bonndoc: https://hdl.handle.net/20.500.11811/11894
Online-Ausgabe in bonndoc: https://hdl.handle.net/20.500.11811/11894
@unpublished{handle:20.500.11811/11894,
author = {{Michael Griebel} and {Frances Y. Kuo} and {Ian H. Sloan}},
title = {Note on “The smooting effect of integration in ℝd and the ANOVA decomposition”},
publisher = {Institut für Numerische Simulation (INS)},
year = 2015,
INS Preprints},
volume = 1513,
note = {This is a note on [Math. Comp. 82, 383–400 (2013)]. 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.},
url = {https://hdl.handle.net/20.500.11811/11894}
}
author = {{Michael Griebel} and {Frances Y. Kuo} and {Ian H. Sloan}},
title = {Note on “The smooting effect of integration in ℝd and the ANOVA decomposition”},
publisher = {Institut für Numerische Simulation (INS)},
year = 2015,
INS Preprints},
volume = 1513,
note = {This is a note on [Math. Comp. 82, 383–400 (2013)]. 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.},
url = {https://hdl.handle.net/20.500.11811/11894}
}
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