Numerical performance of a family of preconditioned gauss-seidel methods for one and two asset standard option pricings
Development in numerical techniques has greatly influenced the advancement of quantitative finance in solving any mathematical models concerned efficiently. Recently, solving the Black-Scholes partial differential equations (PDEs), the option pricing models have attracted many mathematicians to cont...
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| Format: | Thesis |
| Language: | English |
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2012
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| Online Access: | https://eprints.ums.edu.my/id/eprint/11543/1/mt0000000624.pdf |