Valuing option on the maximum of two assets using improving modified Gauss-Seidel method
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 di...
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American Institute of Physics Inc.
2014
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my.utp.eprints.323082022-03-29T05:03:31Z Valuing option on the maximum of two assets using improving modified Gauss-Seidel method Koh, W.S. Muthuvalu, M.S. Aruchunan, E. Sulaiman, J. 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. American Institute of Physics Inc. 2014 Conference or Workshop Item NonPeerReviewed https://www.scopus.com/inward/record.uri?eid=2-s2.0-84904692124&doi=10.1063%2f1.4887582&partnerID=40&md5=aa82986dfce68b04aedba226cb54d038 Koh, 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. http://eprints.utp.edu.my/32308/ |
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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. |
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Conference or Workshop Item |
author |
Koh, W.S. Muthuvalu, M.S. Aruchunan, E. Sulaiman, J. |
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Koh, W.S. Muthuvalu, M.S. Aruchunan, E. Sulaiman, J. Valuing option on the maximum of two assets using improving modified Gauss-Seidel method |
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Koh, W.S. Muthuvalu, M.S. Aruchunan, E. Sulaiman, J. |
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Koh, W.S. |
title |
Valuing option on the maximum of two assets using improving modified Gauss-Seidel method |
title_short |
Valuing option on the maximum of two assets using improving modified Gauss-Seidel method |
title_full |
Valuing option on the maximum of two assets using improving modified Gauss-Seidel method |
title_fullStr |
Valuing option on the maximum of two assets using improving modified Gauss-Seidel method |
title_full_unstemmed |
Valuing option on the maximum of two assets using improving modified Gauss-Seidel method |
title_sort |
valuing option on the maximum of two assets using improving modified gauss-seidel method |
publisher |
American Institute of Physics Inc. |
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2014 |
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https://www.scopus.com/inward/record.uri?eid=2-s2.0-84904692124&doi=10.1063%2f1.4887582&partnerID=40&md5=aa82986dfce68b04aedba226cb54d038 http://eprints.utp.edu.my/32308/ |
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