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

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...

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Main Authors: Wei, Sin Koh, Jumat Sulaiman, Rasid Mail
Format: Article
Language:English
Published: Penerbit UTM Press 2010
Subjects:
QA Mathematics
Online Access:https://eprints.ums.edu.my/id/eprint/21430/1/Quarter%20Sweep%20Improving%20Modified%20Gauss.pdf
https://eprints.ums.edu.my/id/eprint/21430/
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spelling my.ums.eprints.214302019-03-05T04:11:06Z https://eprints.ums.edu.my/id/eprint/21430/ Quarter-sweep improving Modified Gauss-Seidel Method for Pricing European Option Wei, Sin Koh Jumat Sulaiman Rasid Mail QA Mathematics 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 Penerbit UTM Press 2010 Article PeerReviewed text en https://eprints.ums.edu.my/id/eprint/21430/1/Quarter%20Sweep%20Improving%20Modified%20Gauss.pdf 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
institution Universiti Malaysia Sabah
building UMS Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Malaysia Sabah
content_source UMS Institutional Repository
url_provider http://eprints.ums.edu.my/
language English
topic QA Mathematics
spellingShingle QA Mathematics
Wei, Sin Koh
Jumat Sulaiman
Rasid Mail
Quarter-sweep improving Modified Gauss-Seidel Method for Pricing European Option
description 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
format Article
author Wei, Sin Koh
Jumat Sulaiman
Rasid Mail
author_facet Wei, Sin Koh
Jumat Sulaiman
Rasid Mail
author_sort Wei, Sin Koh
title Quarter-sweep improving Modified Gauss-Seidel Method for Pricing European Option
title_short Quarter-sweep improving Modified Gauss-Seidel Method for Pricing European Option
title_full Quarter-sweep improving Modified Gauss-Seidel Method for Pricing European Option
title_fullStr Quarter-sweep improving Modified Gauss-Seidel Method for Pricing European Option
title_full_unstemmed Quarter-sweep improving Modified Gauss-Seidel Method for Pricing European Option
title_sort quarter-sweep improving modified gauss-seidel method for pricing european option
publisher Penerbit UTM Press
publishDate 2010
url https://eprints.ums.edu.my/id/eprint/21430/1/Quarter%20Sweep%20Improving%20Modified%20Gauss.pdf
https://eprints.ums.edu.my/id/eprint/21430/
_version_ 1760229842059526144
score 13.244745

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