Convexity preserving using GC1 cubic ball interpolation

Samsul Ariffin Abdul Karim, and Mohammad Khatim Hasan, and Jumat Sulaiman , (2014) Convexity preserving using GC1 cubic ball interpolation. Applied Mathematical Sciences, 8 (41-44). pp. 2087-2100. ISSN 1312-885X

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Official URL: http://dx.doi.org/10.12988/ams.2014.38481

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.

Item Type:Article
Uncontrolled Keywords:Continuity; Convexity; Cubic ball; Interpolation; Shape preserving
Subjects:Q Science > QA Mathematics
ID Code:10127
Deposited By:IR Admin
Deposited On:03 Mar 2015 14:30
Last Modified:03 Mar 2015 14:30

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