Closed-form expansion for option price under stochastic volatility model with concurrent jumps
提出一种基于路径扰动的闭式展开方法，用于近似随机波动率和资产收益与波动率同时跳跃的模型下的期权价格，以常波动率跳跃扩散的定价公式为首项，可提供任意阶修正，为基于期权数据的校准和估计提供高效计算工具。
We propose and implement a novel path-perturbation-based closed-form expansion for approximating option prices under a general class of models featuring stochastic volatility and jumps in both asset return and volatility. The expansion naturally employs formulas reported in the literature for pricing options under jump-diffusions with constant volatility as the leading term and provides corrections up to an arbitrary order. It offers an efficient computational tool for empirical analysis on the models through, e.g., calibration or estimation based on option data, in particular for flexible yet analytically intractable cases.