I am looking at Kemna and Vorst's paper:
A PRICING METHOD FOR OPTIONS BASED ON AVERAGE ASSET VALUES. see http://www.javaquant.net/papers/Kemna-Vorst.pdf
Let $\text{d}S_t = S_tr\text{d}t + S_t\sigma\text{d}W_t$. Let $t_0 \leq t \leq T$, define $A(t)=\frac{1}{T-t_0}\int^T_{t_0}S_\tau\text{d}\tau$.
The Asian option has pay off $(A(T)-K)^+$. Let $C(s,a,t)$ be the time $t$ price the Asian option with $S(t)=s, A(t)=a$. This paper claims on the top of page 5 that
$\lim\limits_{s\rightarrow\infty}\frac{\partial C(s,a,t)}{\partial s}=\frac{T-t}{T-t_0}e^{-r(T-t)}$, but this is not what I arrived at.
Here is my heuristic/non-rigorous derivation. When $S(t)$ is sufficiently large, then you will almost certainly be in the money. Then
the value of the option should approximately be $C(a,s,t) = e^{-r(T-t)}\bigg((a-K)+\mathbb E\bigg(\frac{1}{T-t_0}\int^T_tS_\tau\text{d}\tau\bigg)\bigg)= e^{-r(T-t)}\bigg((a-K)+\bigg(\frac{s}{r(T-t_0)}(e^{r(T-t)}-1)\bigg)\bigg)$.
(This agrees with (15) in the paper, even)
so I calculate the derivative to be $\frac{1}{r(T-t_0)}(1-e^{-r(T-t)})$
What is stated the paper seems to be the time derivative of my answer, see (13). Did I make a mistake or there is a mistake in this classical paper?