Chittaranjan Mishra

Publication Activity (10 Years)

Years Active: 2011-2022
Publications (10 Years): 5

Top Topics

Black Scholes Model

Parallel Algorithm

Top Venues

Appl. Math. Comput.

Comput. Math. Appl.

Int. J. Comput. Math.

SIAM J. Sci. Comput.

Publications

Abhijit Ghosh, Chittaranjan Mishra
High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU. Comput. Math. Appl. 105 (2022)
Abhijit Ghosh, Chittaranjan Mishra
Highly efficient parallel algorithms for solving the Bates PIDE for pricing options on a GPU. Appl. Math. Comput. 409 (2021)
Abhijit Ghosh, Chittaranjan Mishra
A Parallel Cyclic Reduction Algorithm for Pentadiagonal Systems with Application to a Convection-Dominated Heston PDE. SIAM J. Sci. Comput. 43 (2) (2021)
Chittaranjan Mishra, Xiaoping Lu
A case study on pricing foreign exchange options using the modified Craig-Sneyd ADI scheme. Int. J. Comput. Math. 97 (6) (2020)
Chittaranjan Mishra
A new stability result for the modified Craig-Sneyd scheme applied to two-dimensional convection-diffusion equations with mixed derivatives. Appl. Math. Comput. 285 (2016)
K. J. in 't Hout, Chittaranjan Mishra
Stability of the modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term. Math. Comput. Simul. 81 (11) (2011)