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<https://khub.utp.edu.my/scholars/id/eprint/5117> <http://purl.org/dc/terms/title> "Valuing option on the maximum of two assets using improving modified Gauss-Seidel method"^^<http://www.w3.org/2001/XMLSchema#string> .
<https://khub.utp.edu.my/scholars/id/eprint/5117> <http://purl.org/ontology/bibo/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. Â© 2014 AIP Publishing LLC."^^<http://www.w3.org/2001/XMLSchema#string> .
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