A few Multiresolution Schemes for the Black-Scholes equation
Résumé
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.
Origine : Fichiers produits par l'(les) auteur(s)
Loading...