A comparison of numerical solutions of fractional diffusion models in finance

O. Marom; E. Momoniat

doi:10.1016/j.nonrwa.2008.10.066

A comparison of numerical solutions of fractional diffusion models in finance

O. Marom, E. Momoniat

University of the Witwatersrand

Research output: Contribution to journal › Article › peer-review

67 Citations (Scopus)

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.

Original language	English
Pages (from-to)	3435-3442
Number of pages	8
Journal	Nonlinear Analysis: Real World Applications
Volume	10
Issue number	6
DOIs	https://doi.org/10.1016/j.nonrwa.2008.10.066
Publication status	Published - Dec 2009
Externally published	Yes

Keywords

Finance
Fractional equation
Lévy process

ASJC Scopus subject areas

Analysis
General Engineering
Economics, Econometrics and Finance (all)
Computational Mathematics
Applied Mathematics

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10.1016/j.nonrwa.2008.10.066

Cite this

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title = "A comparison of numerical solutions of fractional diffusion models in finance",

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 L{\'e}vy 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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AU - Momoniat, E.

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AB - 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.

KW - Finance

KW - Fractional equation

KW - Lévy process

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JO - Nonlinear Analysis: Real World Applications

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A comparison of numerical solutions of fractional diffusion models in finance

Abstract

Keywords

ASJC Scopus subject areas

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