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...
Saved in:
Main Authors: | Koh, W.S., Muthuvalu, M.S., Aruchunan, E., Sulaiman, J. |
---|---|
Format: | Conference or Workshop Item |
Published: |
American Institute of Physics Inc.
2014
|
Online Access: | 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/ |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
-
Quarter-sweep improving Modified Gauss-Seidel Method for Pricing European Option
by: Wei, Sin Koh, et al.
Published: (2010) -
Weighted Mein Gauss Seidel Algorithm for the Approximation of Two Dimensional Harmonic Function.
by: HASAN, M KHATIM, et al.
Published: (2010) -
Application of the Half-Sweep Gauss-Seidel Method For Solving First Order Linear Fredholm Integro-Differential Equations
by: Aruchunan, Elayaraja, et al.
Published: (2011) -
Approximation of Iteration Number for Gauss-Seidel Using Redlich-Kister Polynomial
by: M.K.Hasan, HASAN, et al.
Published: (2010) -
Approximation of iteration number for Gauss-Seidel using Redlich-Kister polynomial
by: Hasan, Mohammad Khatim, et al.
Published: (2010)