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

作者：Wang, Xiao-Tian; Liang, Xiang-Qian^*

来源：Chaos, Solitons and Fractals, 2023, 169: 113248.

DOI：10.1016/j.chaos.2023.113248

• Fractional Brownian motion (fBm)
• Covariance function

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.