relation: https://khub.utp.edu.my/scholars/5117/
title: Valuing option on the maximum of two assets using improving modified Gauss-Seidel method
creator: Koh, W.S.
creator: Muthuvalu, M.S.
creator: Aruchunan, E.
creator: Sulaiman, J.
description: 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. © 2014 AIP Publishing LLC.
publisher: American Institute of Physics Inc.
date: 2014
type: Conference or Workshop Item
type: PeerReviewed
identifier:   Koh, W.S. and Muthuvalu, M.S. and Aruchunan, E. and Sulaiman, J.  (2014) Valuing option on the maximum of two assets using improving modified Gauss-Seidel method.  In: UNSPECIFIED.     
relation: https://www.scopus.com/inward/record.uri?eid=2-s2.0-84904692124&doi=10.1063%2f1.4887582&partnerID=40&md5=aa82986dfce68b04aedba226cb54d038
relation: 10.1063/1.4887582
identifier: 10.1063/1.4887582