@inproceedings{scholars5117,
            year = {2014},
         journal = {AIP Conference Proceedings},
       publisher = {American Institute of Physics Inc.},
           pages = {161--166},
            note = {cited By 0; Conference of 21st National Symposium on Mathematical Sciences: Germination of Mathematical Sciences Education and Research Towards Global Sustainability, SKSM 21 ; Conference Date: 6 November 2013 Through 8 November 2013; Conference Code:106463},
          volume = {1605},
             doi = {10.1063/1.4887582},
           title = {Valuing option on the maximum of two assets using improving modified Gauss-Seidel method},
         address = {Penang},
        abstract = {This paper presents the numerical solution for the option on the maximum of two assets using Improving Modified Gauss-Seidel (IMGS) iterative method. Actually, this option can be governed by two-dimensional Black-Scholes partial differential equation (PDE). The Crank-Nicolson scheme is applied to discretize the Black-Scholes PDE in order to derive a linear system. Then, the IMGS iterative method is formulated to solve the linear system. Numerical experiments involving Gauss-Seidel (GS) and Modified Gauss-Seidel (MGS) iterative methods are implemented as control methods to test the computational efficiency of the IMGS iterative method. {\^A}{\copyright} 2014 AIP Publishing LLC.},
        keywords = {Cultivation; Linear systems; Sustainable development; Two dimensional, Black Scholes equations; Black-Scholes partial differential equations; Black-Scholes PDE; Control methods; Crank-Nicolson scheme; Modified Gauss-Seidel method; Numerical experiments; Numerical solution, Iterative methods},
             url = {https://www.scopus.com/inward/record.uri?eid=2-s2.0-84904692124&doi=10.1063\%2f1.4887582&partnerID=40&md5=aa82986dfce68b04aedba226cb54d038},
            isbn = {9780735412415},
            issn = {0094243X},
          author = {Koh, W. S. and Muthuvalu, M. S. and Aruchunan, E. and Sulaiman, J.}
}