For general time-dependent local volatility models, we propose new ap- proximation formulas for the price of call options. This extends previous results of [BGM10b] where stochastic expansions combined with Malliavin calculus were performed to obtain approximation formulas based on the local...

Using Malliavin calculus techniques, we derive an analytical formula for the price of European options, for any model including local volatility and Poisson jump process. We show that the accuracy of the formula depends on the smoothness of the payoff function. Our approach relies on an...