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

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  • Guo, Zhidong
  • Song, Yukun
  • Zhang, Yunliang

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.

Suggested Citation

  • Guo, Zhidong & Song, Yukun & Zhang, Yunliang, 2013. "Comment on “Time-changed geometric fractional Brownian motion and option pricing with transaction costs” by Hui Gu et al," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(10), pages 2311-2314.
    • Handle: RePEc:eee:phsmap:v:392:y:2013:i:10:p:2311-2314
    DOI: 10.1016/j.physa.2013.01.046
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    References listed on IDEAS

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    1. Gu, Hui & Liang, Jin-Rong & Zhang, Yun-Xiu, 2012. "Time-changed geometric fractional Brownian motion and option pricing with transaction costs," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(15), pages 3971-3977.
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    Keywords

    Time-changed process; Option pricing;

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