TY  - CONF
N1  - 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
SP  - 161
ID  - scholars5117
SN  - 0094243X
TI  - Valuing option on the maximum of two assets using improving modified Gauss-Seidel method
Y1  - 2014///
A1  - Koh, W.S.
A1  - Muthuvalu, M.S.
A1  - Aruchunan, E.
A1  - Sulaiman, J.
CY  - Penang
UR  - https://www.scopus.com/inward/record.uri?eid=2-s2.0-84904692124&doi=10.1063%2f1.4887582&partnerID=40&md5=aa82986dfce68b04aedba226cb54d038
PB  - American Institute of Physics Inc.
KW  - Cultivation; Linear systems; Sustainable development; Two dimensional
KW  -  Black Scholes equations; Black-Scholes partial differential equations; Black-Scholes PDE; Control methods; Crank-Nicolson scheme; Modified Gauss-Seidel method; Numerical experiments; Numerical solution
KW  -  Iterative methods
EP  - 166
AV  - none
N2  - 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.
VL  - 1605
ER  -