Valuing option on the maximum of two assets using improving modified Gauss-Seidel method
| dc.contributor.author | Koh, W. | |
| dc.contributor.author | Muthuvalu, M.S. | |
| dc.contributor.author | Aruchunan, Elayaraja | |
| dc.contributor.author | Sulaiman, J. | |
| dc.contributor.editor | Mohd Tahir Ismail | |
| dc.contributor.editor | Syakila Ahmad | |
| dc.contributor.editor | Rosmanjawati Abdul Rahman | |
| dc.date.accessioned | 2017-01-30T12:12:12Z | |
| dc.date.available | 2017-01-30T12:12:12Z | |
| dc.date.created | 2015-05-22T08:32:21Z | |
| dc.date.issued | 2014 | |
| dc.identifier.citation | Koh, 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.uri | http://hdl.handle.net/20.500.11937/19147 | |
| dc.identifier.doi | 10.1063/1.4887582 | |
| 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.publisher | American Institute of Physics | |
| dc.subject | Crank-Nicolson scheme | |
| dc.subject | Two-dimensional Black-Scholes equation | |
| dc.subject | Improving Modified Gauss-Seidel method | |
| dc.title | Valuing option on the maximum of two assets using improving modified Gauss-Seidel method | |
| dc.type | Conference Paper | |
| dcterms.source.startPage | 161 | |
| dcterms.source.endPage | 166 | |
| dcterms.source.title | AIP Conference Proceedings | |
| dcterms.source.series | AIP Conference Proceedings | |
| dcterms.source.isbn | 978-073541241-5 | |
| dcterms.source.conference | 21st National Symposium on Mathematical Sciences: Germination of Mathematical Sciences Education and Research Towards Global Sustainability, SKSM 21 | |
| dcterms.source.conference-start-date | Jun 11 2013 | |
| dcterms.source.conferencelocation | Penang; Malaysia | |
| dcterms.source.place | United States | |
| curtin.department | Department of Mathematics and Statistics | |
| curtin.accessStatus | Open access via publisher |