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

Zhidong Guo, Yukun Song and Yunliang Zhang

Physica A: Statistical Mechanics and its Applications, 2013, vol. 392, issue 10, 2311-2314

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.

Keywords: Time-changed process; Option pricing (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:392:y:2013:i:10:p:2311-2314

DOI: 10.1016/j.physa.2013.01.046

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