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dc.contributor.authorKoh, W.
dc.contributor.authorMuthuvalu, M.S.
dc.contributor.authorAruchunan, Elayaraja
dc.contributor.authorSulaiman, J.
dc.contributor.editorMohd Tahir Ismail , Syakila Ahmad and Rosmanjawati Abdul Rahman
dc.date.accessioned2017-01-30T12:12:12Z
dc.date.available2017-01-30T12:12:12Z
dc.date.created2015-05-22T08:32:21Z
dc.date.issued2014
dc.identifier.citationKoh, W. 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 21st National Symposium on Mathematical Sciences: Germination of Mathematical Sciences Education and Research Towards Global Sustainability, SKSM 21, Jun 11 2013. Penang; Malaysia: American Institute of Physics.
dc.identifier.urihttp://hdl.handle.net/20.500.11937/19147
dc.identifier.doi10.1063/1.4887582
dc.description.abstract

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.

dc.publisherAmerican Institute of Physics
dc.subjectCrank-Nicolson scheme
dc.subjectTwo-dimensional Black-Scholes equation
dc.subjectImproving Modified Gauss-Seidel method
dc.titleValuing option on the maximum of two assets using improving modified Gauss-Seidel method
dc.typeConference Paper
dcterms.source.startPage161
dcterms.source.endPage166
dcterms.source.titleAIP Conference Proceedings
dcterms.source.seriesAIP Conference Proceedings
dcterms.source.isbn978-073541241-5
dcterms.source.conference21st National Symposium on Mathematical Sciences: Germination of Mathematical Sciences Education and Research Towards Global Sustainability, SKSM 21
dcterms.source.conference-start-dateJun 11 2013
dcterms.source.conferencelocationPenang; Malaysia
dcterms.source.placeUnited States
curtin.departmentDepartment of Mathematics and Statistics
curtin.accessStatusOpen access via publisher


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