Chittaranjan Mishra

According to our database, Chittaranjan Mishra authored at least 6 papers between 2011 and 2022.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of five.

2022

High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU.

Abhijit Ghosh, Chittaranjan Mishra

Comput. Math. Appl., 2022

2021

A Parallel Cyclic Reduction Algorithm for Pentadiagonal Systems with Application to a Convection-Dominated Heston PDE.

Abhijit Ghosh, Chittaranjan Mishra

SIAM J. Sci. Comput., 2021

Highly efficient parallel algorithms for solving the Bates PIDE for pricing options on a GPU.

Abhijit Ghosh, Chittaranjan Mishra

Appl. Math. Comput., 2021

2020

A case study on pricing foreign exchange options using the modified Craig-Sneyd ADI scheme.

Chittaranjan Mishra, Xiaoping Lu

Int. J. Comput. Math., 2020

2016

A new stability result for the modified Craig-Sneyd scheme applied to two-dimensional convection-diffusion equations with mixed derivatives.

Chittaranjan Mishra

Appl. Math. Comput., 2016

2011

Stability of the modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term.

K. J. in 't Hout, Chittaranjan Mishra

Math. Comput. Simul., 2011