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
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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 |
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| Keyword: | Quarter-Sweep Improving Modified Gauss-Seidel method , Black-Scholes PDE , Crank-Nicolson scheme |
| Subjects: | Q Science > QA Mathematics |
| Department: | FACULTY > Faculty of Science and Natural Resources |
| Depositing User: | NORAINI LABUK - |
| Date Deposited: | 05 Mar 2019 12:11 |
| Last Modified: | 05 Mar 2019 12:11 |
| URI: | https://eprints.ums.edu.my/id/eprint/21430 |
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