A series solution of Black-Scholes equation under jump diffusion model

Kyoung Sook Moon, Hongjoong Kim, Yunju Jeong

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)


We introduce a series solution for a partial integro-differential equation which arises in option pricing when the Black-Scholes partial differential equations are considered under jump diffusion models. We construct a polynomial chaos solution using the Taylor expansion with respect to Hermite polynomials, which simplifies the integral term and derives a system of deterministic ordinary differential equations. Numerical examples show that the proposed method efficiently gives the desired accuracy for pricing options.

Original languageEnglish
JournalEconomic Computation and Economic Cybernetics Studies and Research
Issue number1
Publication statusPublished - 2014


  • Black-Scholes equation
  • Jump-diffusion
  • Option pricing
  • Partial integro-differential equation
  • Polynomial chaos

ASJC Scopus subject areas

  • Economics and Econometrics
  • Computer Science Applications
  • Applied Mathematics


Dive into the research topics of 'A series solution of Black-Scholes equation under jump diffusion model'. Together they form a unique fingerprint.

Cite this