Josep Vives obtained his PhD in Mathematics at the Universitat de Barcelona (UB) in 1994, under the supervision of Professor David Nualart. He had different positions at the Department of Mathematics of the Universat Autònoma de Barcelona for several years and, since 2005, he is assistant professor at the Department of Mathematics and Computer Science of the UB. He has published more than 40 research papers in international journals, about topics related with Stochastic Analysis and Quantitative Finance. He is also member of the Institute of Mathematics of the UB (IMUB), and currently, he is managing editor of Collectanea Mathematica.
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…