Comment on “Time-changed geometric fractional Brownian motion and option pricing with transaction costs” by Hui Gu et al. |
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Authors: | Zhidong Guo Yukun Song Yunliang Zhang |
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Affiliation: | 1. College of Mathematics, Jilin University, Changchun 130012, People’s Republic of China;2. Chengde Petroleum College, Chengde 067000, People’s Republic of China |
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Abstract: | The purpose of this comment is to point out the inappropriate assumption of “3αH>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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Keywords: | Time-changed process Option pricing |
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