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A comparison of numerical solutions of fractional diffusion models in finance. (English) Zbl 1180.91308

Summary: 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.

MSC:

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