Scholarly PublicationKoh, 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.
Full text not available from this repository.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. © 2014 AIP Publishing LLC.
| Item Type: | Conference or Workshop Item (UNSPECIFIED) |
|---|---|
| Impact Factor: | cited By 0 |
| Uncontrolled Keywords: | 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 |
| Depositing User: | Ms Sharifah Fahimah Saiyed Yeop |
| Date Deposited: | 29 Mar 2022 05:03 |
| Last Modified: | 29 Mar 2022 05:03 |
| URI: | http://scholars.utp.edu.my/id/eprint/32308 |
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