Comment on "Equity-linked securities option pricing by fractional Brownian motion" [Chaos Solitons Fractals 144 (2021) 110716]

摘要

In the paper by Jian Wang et al. [Chaos Solitons and Fractals 144(2021)1 10716], "fractional Brownian motion BH(t)" is only defined through the distribution function, but the covariance for BH(t) is not defined, exactly. Through two counter-examples we show that the definition for BH(t) in mentioned paper is incorrect.

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