Quarter-sweep improving Modified Gauss-Seidel Method for Pricing European Option

Wei, Sin Koh and Jumat Sulaiman, and Rasid Mail, (2010) Quarter-sweep improving Modified Gauss-Seidel Method for Pricing European Option. MATEMATIKA, 26 (3). pp. 179-185. ISSN 0127-8274

[img] Text
Quarter Sweep Improving Modified Gauss.pdf

Download (202kB)

Abstract

The aim of this paper is to examine the application of the Quarter-Sweep Improving Modified Gauss-Seidel (QSIMGS) method in evaluating European option which governed by Black-Scholes partial differential equation (PDE). Quarter-sweep Crank-Nicolson approach is applied to approximate the PDE. Then, the generated linear system is solved by using the IMGS method. Some numerical experiments for a family of Gauss-Seidel (GS) methods such as Gauss-Seidel, Modified GaussSeidel (MGS) and Improving Modified Gauss-Seidel (IMGS) methods are performed with each full-, half-, and quarter-sweep iterations. Thus, from the numerical results obtained, we can show that the QSIMGS method is the most effective method

Item Type: Article
Uncontrolled Keywords: Quarter-Sweep Improving Modified Gauss-Seidel method , Black-Scholes PDE , Crank-Nicolson scheme
Subjects: Q Science > QA Mathematics
Divisions: FACULTY > Faculty of Science and Natural Resources
Depositing User: Noraini
Date Deposited: 05 Mar 2019 04:11
Last Modified: 05 Mar 2019 04:11
URI: http://eprints.ums.edu.my/id/eprint/21430

Actions (login required)

View Item View Item