%0 Conference Paper %A Koh, W.S. %A Muthuvalu, M.S. %A Aruchunan, E. %A Sulaiman, J. %D 2014 %F scholars:5117 %I American Institute of Physics Inc. %K 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 %P 161-166 %R 10.1063/1.4887582 %T Valuing option on the maximum of two assets using improving modified Gauss-Seidel method %U https://khub.utp.edu.my/scholars/5117/ %V 1605 %X 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. %Z 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