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

Zhidong Guo

Mathematics and Computers in Simulation (MATCOM), 2026, vol. 242, issue C, 121-124

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.

Keywords: Asian options; Jump; Path-dependent; Gaussian distribution (search for similar items in EconPapers)
Date: 2026
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:242:y:2026:i:c:p:121-124

DOI: 10.1016/j.matcom.2025.11.006

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