Cheng, Wen; Costanzino, Nick; Liechty, John; Mazzucato, Anna - arXiv.org - 2009
We obtain new closed-form pricing formulas for contingent claims when the asset follows a Dupire-type local volatility model. To obtain the formulas we use the Dyson-Taylor commutator method that we have recently developed in [5, 6, 8] for short-time asymptotic expansions of heat kernels, and...