Coefficients of asymptotic expansions of SDE with jumps (Q607565)

From the summary: A new methodology for the problem of contingent claim valuation is proposed by \textit{N. Yoshida} [J. Jap. Stat. Soc. 22, No. 2, 139--159 (1992; Zbl 0778.62018); Stochastic Processes Appl. 107, No. 1, 53--81 (2003; Zbl 1075.60515)], 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.