Comment on “Time-changed geometric fractional Brownian motion and option pricing with transaction costs” by Hui Gu et al.

descriptionPublicationkeyboard_double_arrow_right Article 01 May 2013 English Publisher:Elsevier BVJournal:Physica A: Statistical Mechanics and its Applications, volume 392, pages 2,311-2,314 (issn: 0378-4371,

Authors: Yunliang Zhang; Yukun Song; Zhidong Guo;

doi: 10.1016/j.physa.2013.01.046

Comment on “Time-changed geometric fractional Brownian motion and option pricing with transaction costs” by Hui Gu et al.

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Abstract

Abstract The purpose of this comment is to point out the inappropriate assumption of “ 3 α H > 1 ” and two problems in the proof of “Theorem 3.1” in section 3 of the paper “Time-changed geometric fractional Brownian motion and option pricing with transaction costs” by Hui Gu et al. [H. Gu, J.R. Liang, Y. X. Zhang, Time-changed geometric fractional Brownian motion and option pricing with transaction costs, Physica A 391 (2012) 3971–3977]. Then we show the two problems will be solved under our new assumption.

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Jilin University
China (People's Republic of)
Jilin University
China (People's Republic of)

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