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)

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)

A case study on pricing foreign exchange options using the modified Craig-Sneyd ADI scheme. - Chittaranjan Mishra; Xiaoping Lu (Int. J. Comput. Math., 2020)

Highly efficient parallel algorithms for solving the Bates PIDE for pricing options on a GPU. - Abhijit Ghosh; Chittaranjan Mishra (Appl. Math. Comput., 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)

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)