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...
| Main Authors: | , , , |
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| Other Authors: | |
| Format: | Conference Paper |
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American Institute of Physics
2014
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| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/19147 |
| _version_ | 1848749949921001472 |
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| author | Koh, W. Muthuvalu, M.S. Aruchunan, Elayaraja Sulaiman, J. |
| author2 | Mohd Tahir Ismail |
| author_facet | Mohd Tahir Ismail Koh, W. Muthuvalu, M.S. Aruchunan, Elayaraja Sulaiman, J. |
| author_sort | Koh, W. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T07:29:04Z |
| format | Conference Paper |
| id | curtin-20.500.11937-19147 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T07:29:04Z |
| publishDate | 2014 |
| publisher | American Institute of Physics |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-191472023-02-13T08:01:38Z Valuing option on the maximum of two assets using improving modified Gauss-Seidel method Koh, W. Muthuvalu, M.S. Aruchunan, Elayaraja Sulaiman, J. Mohd Tahir Ismail Syakila Ahmad Rosmanjawati Abdul Rahman Crank-Nicolson scheme Two-dimensional Black-Scholes equation 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 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 Conference Paper http://hdl.handle.net/20.500.11937/19147 10.1063/1.4887582 American Institute of Physics unknown |
| spellingShingle | Crank-Nicolson scheme Two-dimensional Black-Scholes equation Improving Modified Gauss-Seidel method Koh, W. Muthuvalu, M.S. Aruchunan, Elayaraja Sulaiman, J. Valuing option on the maximum of two assets using improving modified Gauss-Seidel method |
| title | 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_short | 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 |
| topic | Crank-Nicolson scheme Two-dimensional Black-Scholes equation Improving Modified Gauss-Seidel method |
| url | http://hdl.handle.net/20.500.11937/19147 |