%R 10.1063/1.4887582
%A W.S. Koh
%A M.S. Muthuvalu
%A E. Aruchunan
%A J. Sulaiman
%T Valuing option on the maximum of two assets using improving modified Gauss-Seidel method
%J AIP Conference Proceedings
%L scholars5117
%D 2014
%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.
%O 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
%P 161-166
%C Penang
%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