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

Keyphrases

• Black-Scholes Equation 100%
• Jump-diffusion Process 100%
• Series Solution 100%
• Numerical Examples 50%
• Polynomial Chaos 50%
• Option Pricing 50%
• Ordinary Differential Equations 50%
• Black-Scholes Partial Differential Equation 50%
• Hermite Polynomials 50%
• Partial Integro-differential Equation 50%
• Taylor Expansion 50%
• Pricing Options 50%

Mathematics

• Black-Scholes Equation 100%
• Option Pricing 100%
• Diffusion Model 100%
• Series Solution 100%
• Polynomial 50%
• Numerical Example 50%
• Partial Differential Equation 50%
• Ordinary Differential Equation 50%
• Taylor Expansion 50%
• Integro-Partial Differential Equation 50%
• Hermite Polynomial 50%