4 results for “Crank-Nicolson scheme”

Set a search alert

Research ArticleOpen accessIn the keywordsNumerical Solution for 2D European Option Pricing Using Quarter-Sweep Modified Gauss-Seidel MethodKoh Wei Sin, Jumat Sulaiman, Rasid MailProblem statement: This study presents the numerical solution of two-dimensional European option pricing problem based on Quarter-Sweep Modified Gauss-Seidel (QSMGS) iterative method. In fact, the pricing of European option with two-underlying assets can be governed by two-dimensional Black-Scholes Partial Differential Equation (PDE). Approach: The PDE needs to be discretized by using full-, half- and quarter-sweep second-order Crank-Nicolson schemes to generate … …Journal of Mathematics and Statistics, Vol. 8, Issue 1 · 8 Feb 2012 · 7,773 accessesView PDF Cite

Research ArticleOpen accessIn the keywordsQuarter-Sweep Projected Modified Gauss-Seidel Algorithm Applied to Linear Complementarity ProblemW. S. Koh, J. Sulaiman, R. MailProblem statement: Modified Gauss-Seidel (MGS) was developed in order to improve the convergence rate of classical iterative method in solving linear system. In solving linear system iteratively, it takes longer time when many computational points involved. It is known that by applying quarter-sweep iteration scheme, it can decrease the computational operations without altering the accuracy. In this study, we investigated … …American Journal of Applied Sciences, Vol. 7, Issue 6 · 30 Jun 2010 · 7,399 accessesView PDF Cite

Research ArticleOpen accessIn the abstractA Review of the Recent Advances Made in the Black-Scholes Models and Respective Solutions MethodsYasir Hamad Al Saedi, Gurudeo Anand TularamThe Black-Scholes model has been a major advance in finance over a period of time; this paper examines this model in some detail, in terms of the latest developments in both analytical and numerical solutions. The paper initially briefly examines historical aspects but quickly moves to a critical analysis of the works in the applications, solutions and implications for the … …Journal of Mathematics and Statistics, Vol. 14, Issue 1 · 8 Jan 2018 · 8,621 accessesView PDF Cite

Research ArticleOpen accessIn the abstractParallel Iterative Algorithms with Accelerate Convergence for Solving Implicit Difference EquationsQing-Fu Liu, Wei-Jun Zhong, Mancho ManevThis study focuses on the solution of implicit difference equations, which are very difficult to compute in parallel for the diffusion equation. For improving the convergence rates and the properties of gradual-approach convergence of Segment-Classic-Implicit-Iterative (SCII) and Segment-Crank-Nicolson-Iterative (SCNI) algorithms realizing efficient iterative computation in parallel by segmenting grid domains, SCII and SCNI algorithms with accelerated convergence are studied and … …American Journal of Applied Sciences, Vol. 1, Issue 1 · 31 Mar 2004 · 6,799 accessesView PDF Cite