A few Multiresolution Schemes for the Black-Scholes equation

Philippe Poncet (1) , Remi Abgrall (2)

1 LMAP - Laboratoire de Mathématiques et de leurs Applications [Pau]
2 UB - Université de Bordeaux

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.

Domaines: Analyse numérique [math.NA]; Pricing [q-fin.PR]; Finance quantitative [q-fin.CP]

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