A comparison of numerical solutions of fractional diffusion models in finance

DOI10.1016/j.nonrwa.2008.10.066zbMath1180.91308MaRDI QIDQ1036770

O. Marom, Ebrahim Momoniat

Publication date: 13 November 2009

Published in: Nonlinear Analysis. Real World Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.nonrwa.2008.10.066

zbMATH Keywords

Lévy process; finance; fractional equation

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

91G60: Numerical methods (including Monte Carlo methods)

35R11: Fractional partial differential equations

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