| Autor: |
Koh, Wei Sin, Jaaman, Saiful Hafizah, Sulaiman, Jumat, Ahmad, Rokiah Rozita |
| Předmět: |
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| Zdroj: |
AIP Conference Proceedings; 2024, Vol. 3150 Issue 1, p1-7, 7p |
| Abstrakt: |
In this study, we apply the successive over-relaxation (SOR) method for the numerical solution of arithmetic Asian option pricing problem. The arithmetic Asian option pricing is obtained by computing the solution of the two-dimensional Black-Scholes partial differential equation (PDE). Firstly, Crank-Nicolson approximation approach is used to discretize the Black-Scholes PDE. Based on the discretization process, a linear system is formed on every time step. Then, the SOR method is formulated to solve the systems of linear equations generated. The numerical computation is implemented at every time step from the time of maturity to the time of inception iteratively to obtain the Asian option price. Numerical experiments are executed to examine the efficiency of the SOR method in relative to the Gauss-Seidel method. In the numerical experiments, the iterations count, execution time and root-mean-square error (RMSE) were monitored. Findings of the numerical experiments demonstrated that the SOR iterative method to be the superior method. [ABSTRACT FROM AUTHOR] |
| Databáze: |
Complementary Index |
| Externí odkaz: |
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