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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Main Authors: Koh, W.S., Muthuvalu, M.S., Aruchunan, E., Sulaiman, J.
Format: Conference or Workshop Item
Institution: Universiti Teknologi Petronas
Record Id / ISBN-0: utp-eprints.32308 /
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/
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spelling 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/
institution Universiti Teknologi Petronas
collection UTP Institutional Repository
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. © 2014 AIP Publishing LLC.
format Conference or Workshop Item
author Koh, W.S.
Muthuvalu, M.S.
Aruchunan, E.
Sulaiman, J.
spellingShingle Koh, W.S.
Muthuvalu, M.S.
Aruchunan, E.
Sulaiman, J.
Valuing option on the maximum of two assets using improving modified Gauss-Seidel method
author_sort 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.
publishDate 2014
url 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/
_version_ 1741197715529793536
score 11.62408

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