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Re: successive over relaxation

  • To: mathgroup at smc.vnet.net
  • Subject: [mg38895] Re: successive over relaxation
  • From: Mike <mikeh1980 at optusnet.com.au>
  • Date: Fri, 17 Jan 2003 05:39:36 -0500 (EST)
  • References: <200301090940.EAA07078@smc.vnet.net> <avm4ji$na0$1@smc.vnet.net> <avu05n$dd4$1@smc.vnet.net> <b00s06$pnv$1@smc.vnet.net>
  • Sender: owner-wri-mathgroup at wolfram.com

Thanks very much. I'll check this out in a university library.

Actually I'm surprised that you would need an SOR for Black-Scholes. It is
analogous to diffusion-reaction equation in electrochemistry and that can be
solved using a tridiagonal solver.

Thanks

Mike

On 14/1/03 10:23 PM, in article b00s06$pnv$1 at smc.vnet.net, "Khufu"
<k9ck-9wsp at spamex.com> wrote:

> Mike:
> Don't give up all hope!
> Let me direct your attention to William Shaw's excellent book on using
> Mathematica for financial applications "Modelling Financial Derivatives with
> Mathematica" (ISBN=052159233X).
> He has two or three chapters of the book dedicated to SOR, PSOR, and other
> schemes.  Of course this is specifically tailored to financial applications
> (solving Black-Scholes type equations) but it may set you closer to your
> course than you are now.
> The book is expensive, but very good for what it is and does come with a
> CDROM of all programs.  There are several different included examples of SOR
> solvers.  Shaw also does a good job of comparing the relative strengths of
> different schemes for various problems.
> The book should be available at any of the major online sites.
> Best of luck, hope this helps.
> -Khufu
> 
> "Jens-Peer Kuska" <kuska at informatik.uni-leipzig.de> wrote in message
> news:avu05n$dd4$1 at smc.vnet.net...
>> Hi,
>> 
>> and
>> 
>> Developer`SparseLinearSolve[]
>> 
>> does not a better job than any SOR ??
>> 
>> Regards
>>   Jens
>> 
>> Selwyn Hollis wrote:
>>> 
>>> Mike,
>>> 
>>> I doubt you'll find what you're looking for. I recently spent some time
>>> trying to concoct an efficient Gauss-Seidel-SOR program in Mathematica
>>> and left it before getting anything I was happy with. There are inherent
>>> difficulties, I think. However, I believe it's an very interesting
>>> problem to find the "best" way of implementing SOR in Mathematica.
>>> 
>>> ----
>>> Selwyn Hollis
>>> 
>>> Mike wrote:
>>>> Does anyone know of any sources of examples of successive over
> relaxation
>>>> method using mathematica?
>>>> 
>>>> I came across a link on mathsource but the notebook actually links to
> ITPACK
>>>> method. I was interested in a full implementation within mathematica.
>>>> 
>>>> 
>>>> Thanks
>>>> 
>>>> Mike
>>>> 
>>>> 
>>>> 
>> 
> 
> 



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