英文标题：
《A Taylor series approach to pricing and implied vol for LSV models》
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作者：
Matthew Lorig, Stefano Pagliarani, Andrea Pascucci
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最新提交年份：
2013
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英文摘要：
  Using classical Taylor series techniques, we develop a unified approach to pricing and implied volatility for European-style options in a general local-stochastic volatility setting. Our price approximations require only a normal CDF and our implied volatility approximations are fully explicit (ie, they require no special functions, no infinite series and no numerical integration). As such, approximate prices can be computed as efficiently as Black-Scholes prices, and approximate implied volatilities can be computed nearly instantaneously.
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中文摘要：
我们使用经典的泰勒级数和统一的欧式波动率定价方法，对欧式波动率进行了统一的定价。我们的价格近似只需要一个正常的CDF，我们的隐含波动率近似是完全明确的（即，它们不需要特殊函数、无限级数和数值积分）。因此，近似价格可以像Black-Scholes价格一样有效地计算，近似隐含波动率几乎可以在瞬间计算。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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