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: | , , , |
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| Format: | Conference or Workshop Item |
| Published: |
American Institute of Physics Inc.
2014
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| 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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| Institution: | Universiti Teknologi Petronas |