A few Multiresolution Schemes for the Black-Scholes equation

Philippe Poncet () and Remi Abgrall ()
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Philippe Poncet: LMAP - Laboratoire de Mathématiques et de leurs Applications [Pau] - UPPA - Université de Pau et des Pays de l'Adour - CNRS - Centre National de la Recherche Scientifique
Remi Abgrall: UB - Université de Bordeaux

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Abstract: In this note, we apply mutliresolution technics to a discretisation of the linear Black Schole equation , which is a convection diffusion equation. In particular, we describe a few numerical schemes in order to perform one step of decimation and reconstruction. This suggests a new discretisation method of this equation, which should easily extend to more than one dimension, and lead to very efficient numerical schemes.

Date: 2000-07
Note: View the original document on HAL open archive server: https://hal.science/hal-02011193v1
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Published in CEMRACS 2000, Jul 2000, Marseille, France

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02011193

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