Archil Gulisashvili received his PhD degree and Doctor of Science degree from the Tbilisi State University in Tbilisi, Georgia. Currently he is a professor of mathematics at Ohio University. Prior to joining Ohio University, he has held visiting positions at Boston University, Cornell University, and Howard University. His research interests include financial mathematics, Schrodinger semigroups, and Feynman-Kac propagators. Gulisashvili has published more than 80 papers in international journals. He is author of a research monograph on stochastic volatility models, coauthor of a research monograph on Feynman-Kac propagators, and coeditor of a volume on large deviations and asymptotic methods in finance.
In the present paper, a decomposition formula for the call price due to Alòs is transformed into a Taylor-type formula containing an infinite series with stochastic terms. The new decomposition may be considered as an alternative to the decomposition of…