Note on “The smooting effect of integration in ℝ<sup>d</sup> and the ANOVA decomposition”

dc.contributor.author	Griebel, Michael
dc.contributor.author	Kuo, Frances Y.
dc.contributor.author	Sloan, Ian H.
dc.date.accessioned	2024-08-21T09:02:52Z
dc.date.available	2024-08-21T09:02:52Z
dc.date.issued	2015
dc.identifier.uri	https://hdl.handle.net/20.500.11811/11894
dc.description.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.	en
dc.format.extent	10
dc.language.iso	eng
dc.relation.ispartofseries	INS Preprints ; 1513
dc.rights	In Copyright
dc.rights.uri	http://rightsstatements.org/vocab/InC/1.0/
dc.subject.ddc	510 Mathematik
dc.subject.ddc	518 Numerische Analysis
dc.title	Note on “The smooting effect of integration in ℝ^d and the ANOVA decomposition”
dc.type	Preprint
dc.publisher.name	Institut für Numerische Simulation (INS)
dc.publisher.location	Bonn
dc.rights.accessRights	openAccess
ulbbn.pubtype	Zweitveröffentlichung
dcterms.bibliographicCitation.url	https://ins.uni-bonn.de/publication/preprints

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Note on “The smooting effect of integration in ℝd and the ANOVA decomposition”