A few Multiresolution Schemes for the Black-Scholes equation

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.
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Philippe Poncet, Remi Abgrall. A few Multiresolution Schemes for the Black-Scholes equation. CEMRACS 2000, Jul 2000, Marseille, France. ⟨hal-02011193⟩

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