Quarter-Sweep Improving Modified Gauss-Seidel Method for Pricing European Option
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Bibliographic record
Abstract
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 Gauss-Seidel (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. Keywords: Quarter-Sweep Improving Modified Gauss-Seidel method; Black-Scholes PDE; Crank-Nicolson scheme.
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Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.000 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.000 | 0.000 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.000 | 0.000 |
| Open science | 0.000 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.000 | 0.000 |
Machine scores (provisional)
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Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
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