Wavelet Methods - Computational Methods for Quantitative Finance - page 176

In one dimension, Matache et al. [122, 123] have introduced a wavelet-based
finite element scheme to solve the variational PIDE formulation of European-style
options. This was subsequently also applied to American-type contracts as in [121,
160]. In Farkas et al. [66, 134, 163], the wavelet-based approach was extended to
multidimensional Lévy models. A short overview of the method can also be found
in Hilber et al. [82].
Computable a posteriori estimates of the discretization error for parabolic
integro-differential variational inequalities which arise for American put type con-
tracts in exponential Lévy models were obtained in [130].