A few Multiresolution Schemes for the Black-Scholes equation
Poncet, Philippe ; Abgrall, Remi
HAL, hal-02011193 / Harvested from HAL
Text on HAL
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.
Publié le : 2000-07-04
Classification:  [MATH.MATH-NA]Mathematics [math]/Numerical Analysis [math.NA],  [QFIN.PR]Quantitative Finance [q-fin]/Pricing of Securities [q-fin.PR],  [QFIN.CP]Quantitative Finance [q-fin]/Computational Finance [q-fin.CP] 
@article{hal-02011193,
     author = {Poncet, Philippe and Abgrall, Remi},
     title = {A few Multiresolution Schemes for the Black-Scholes equation},
     journal = {HAL},
     volume = {2000},
     number = {0},
     year = {2000},
     language = {en},
     url = {http://dml.mathdoc.fr/item/hal-02011193}
}

Poncet, Philippe; Abgrall, Remi. A few Multiresolution Schemes for the Black-Scholes equation. HAL, Tome 2000 (2000) no. 0, . http://gdmltest.u-ga.fr/item/hal-02011193/