A comparison of numerical solutions of fractional diffusion models in finance |
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| Authors: | O. Marom E. Momoniat |
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| Affiliation: | aCentre for Differential Equations, Continuum Mechanics and Applications, School of Computational and Applied Mathematics, University of the Witwatersrand, Johannesburg, Private Bag 3, Wits 2050, South Africa |
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| Abstract: | We compare the numerical solutions of three fractional partial differential equations that occur in finance. These fractional partial differential equations fall in the class of Lévy models. They are known as the FMLS (Finite Moment Log Stable), CGMY and KoBol models. Conditions for the convergence of each of these models is obtained. |
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| Keywords: | Lé vy process Fractional equation Finance |
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