| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 837616 | Nonlinear Analysis: Real World Applications | 2009 | 8 Pages |
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.
Keywords
Related Topics
Physical Sciences and Engineering
Engineering
Engineering (General)
Authors
O. Marom, E. Momoniat,