Coefficients of Asymptotic Expansions of SDE with Jumps

A new methodology for the problem of contingent claim valuation is proposed by Yoshida (Journal of Japanese Statistical Society, 22(2): 139–159, 1992, Stochastic Processes Application, 107(1): 53–81, 2003), and Takahashi and Kunitomo (2003). They used the asymptotic expansion theorem of Watanabe. Their method is applicable to various problems of contingent claim valuation. The author has obtained the asymptotic expansion formula for European call option of pure jump models (2008). In this paper, we determine the coefficients of the asymptotic expansion formula in order to test this formula numerically.