A comparison of numerical solutions of fractional diffusion models in finance

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

Ebrahim Momoniat, O. Marom

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

Related Items

Moments for tempered fractional advection-diffusion equations, Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models

Cites Work

• Unnamed Item
• Unnamed Item
• An algorithm for Adomian decomposition method
• Waiting-times and returns in high-frequency financial data: An empirical study
• Lévy flights and related topics in physics. Proceedings of the international workshop, held at Nice, France, 27-30 June, 1994
• An approximate solution of a nonlinear fractional differential equation by Adomian decomposition method
• Finite difference approximations for two-sided space-fractional partial differential equations
• Fractional Calculus: Integral and Differential Equations of Fractional Order