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
Full text not available from this repository.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 |
|---|---|
| Keyword: | Continuity; Convexity; Cubic ball; Interpolation; Shape preserving |
| Subjects: | Q Science > QA Mathematics |
| Depositing User: | MDM FAUZIAH MATSIN |
| Date Deposited: | 03 Mar 2015 14:30 |
| Last Modified: | 03 Mar 2015 14:30 |
| URI: | https://eprints.ums.edu.my/id/eprint/10127 |
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