A comparison of numerical solutions of fractional diffusion models in finance

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 Levy 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. (C) 2009 Elsevier Ltd. All rights reserved.