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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Bibliographic Details
Main Authors: Koh, W., Muthuvalu, M.S., Aruchunan, Elayaraja, Sulaiman, J.
Other Authors: Mohd Tahir Ismail
Format: Conference Paper
Published: American Institute of Physics 2014
Subjects:
Online Access:http://hdl.handle.net/20.500.11937/19147