Marc Lagunas-Merino is a doctoral research fellow at the University of Oslo. His research work, as a member of the stochastic analysis section, is focused on fractional stochastic modeling with applications to finance. It is scheduled he will defend his thesis by the end of 2020. Having previously worked as a quantitative trader in the industry he joined the faculty of mathematics and natural sciences in 2017 to pursue his PhD. His research interests are on mathematical finance and stochastic analysis, with special focus to volatility modeling, pricing and hedging.
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…