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A few Multiresolution Schemes for the Black-Scholes equation

Author

Listed:
  • 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)

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.

Suggested Citation

  • Philippe Poncet & Remi Abgrall, 2000. "A few Multiresolution Schemes for the Black-Scholes equation," Post-Print hal-02011193, HAL.
  • Handle: RePEc:hal:journl:hal-02011193
    Note: View the original document on HAL open archive server: https://hal.science/hal-02011193
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