In this paper, the application of the Accelerated Over-Relaxation (AOR) iterative method is extended to solve first order composite closed Newton-Cotes quadrature (1-CCNC) algebraic equations arising from second kind linear Fredholm integral equations. The formulation and implementation of the method are also discussed. In addition, numerical results by solving several test problems are included and compared with the conventional iterative methods.

No abstract

Abstract. This paper presents the numerical solution for the option on the maximum of two assets using Improving Modified Gauss-Seidel (IMGS) iterative method. Actually, this option can be governed by two-dimensional BlackScholes partial differential equation (PDE). The Crank-Nicolson scheme is applied to discretize the Black-Scholes PDE in order to derive a linear system. Then, the IMGS iterative method is formulated to solve the linear system. Numerical experiments involving Gauss-Seidel (GS) and Modified Gauss-Seidel (MGS) iterative methods are implemented as control methods to test the computational efficiency of the IMGS iterative method.