A comparison of numerical methods to solve fractional partial differential equations
A comparison of two numerical methods - ¯nite di®erence and Adomian decomposition method (ADM) - to solve a variety of fractional partial dif- ferential equations that occur in ¯nance are investigated. These fractional partial di®erential equations fall into the class of L¶evy models. They are k...
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| Format: | Others |
| Language: | en |
| Published: |
2010
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| Online Access: | http://hdl.handle.net/10539/7682 |