A comparison of numerical solutions of fractional diffusion models in finance

DOI10.1016/J.NONRWA.2008.10.066zbMATH Open1180.91308OpenAlexW2048671186MaRDI QIDQ1036770FDOQ1036770

O. Marom, E. 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

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zbMATH Keywords

finance[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+process&go=Go L��vy process]fractional equation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Fractional partial differential equations (35R11)

Cites Work

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

Cited In (45)

• Convergence analysis of a LDG method for tempered fractional convection–diffusion equations
• Numerical solution of the time fractional Black-Scholes model governing European options
• Stock loan valuation based on the finite moment log-stable process
• Pricing stock loans under the Lèvy-\(\alpha\)-stable process with jumps
• Time fractional capital-induced labor migration model
• A class of fourth-order Padé schemes for fractional exotic options pricing model
• A numerical scheme for fractional order mortgage model of economics
• Legendre spectral methods based on two families of novel second-order numerical formulas for the fractional activator-inhibitor system
• Well-posedness and numerical approximation of tempered fractional terminal value problems
• A preconditioning technique for all-at-once system from the nonlinear tempered fractional diffusion equation
• ANALYSIS OF FRACTIONAL DIFFUSION MODELS IN FINANCE
• Two reliable methods for solving the (3 + 1)-dimensional space-time fractional Jimbo-Miwa equation
• Numerical approximation of a time-fractional Black-Scholes equation
• Numerical simulation of a finite moment log stable model for a European call option
• The numerical simulation of the tempered fractional Black-Scholes equation for European double barrier option
• High order schemes for the tempered fractional diffusion equations
• Numerical and analytical solutions of new generalized fractional diffusion equation
• Title not available (Why is that?)
• Preconditioned iterative methods for fractional diffusion models in finance
• A comparison study of explicit and implicit numerical methods for the equity-linked securities
• Fractional calculus in economic growth modelling of the group of seven
• Circulant preconditioning technique for barrier options pricing under fractional diffusion models
• Convergence analysis of a LDG method for time-space tempered fractional diffusion equations with weakly singular solutions
• Study on the existence and approximate solution of fractional differential equations with delay and its applications to financial models
• Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models
• Reduced differential transform and Sumudu transform methods for solving fractional financial models of awareness
• A semianalytical solution of the fractional derivative model and its application in financial market
• Numerical method for a system of PIDEs arising in American contingent claims under FMLS model with jump diffusion and regime-switching process
• A second order numerical method for the time-fractional Black-Scholes European option pricing model
• A space-time fractional derivative model for European option pricing with transaction costs in fractal market
• Efficient Multistep Methods for Tempered Fractional Calculus: Algorithms and Simulations
• Analysis of malaria dynamics using its fractional order mathematical model
• A comparison study of bank data in fractional calculus
• SOLVING SPACE-FRACTIONAL DIFFUSION EQUATIONS BY USING HSSOR METHOD
• Conformable space-time fractional nonlinear \((1+1)\)-dimensional Schrödinger-type models and their traveling wave solutions
• Fast numerical simulation of a new time-space fractional option pricing model governing European call option
• Pricing stock loans with the CGMY model
• Moments for tempered fractional advection-diffusion equations
• Numerical analysis of time fractional Black-Scholes European option pricing model arising in financial market
• The existence and numerical solution for a k-dimensional system of multi-term fractional integro-differential equations
• Wavelets optimization method for evaluation of fractional partial differential equations: an application to financial modelling
• Unconditionally convergent numerical method for the fractional activator–inhibitor system with anomalous diffusion
• Comparing algebraic and numerical solutions of classical diffusion process equations in computational financial mathematics
• Algorithms of finite difference for pricing American options under fractional diffusion models
• Spectral methods for substantial fractional differential equations

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