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 PDFCite
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 PDFCite