Power series representations for European option prices under stochastic volatility models Il seminario si terrà si terra' presso la sala grande di Prometeia (primo piano accesso da via Marconi)

In the context of stochastic volatility models, we study representation formulas in terms of expectations for the power series coefficients associated to the call price-function. As in a recent paper by Antonelli and Scarlatti, the expansion is done w.r.t. the correlation between the noises driving the underlying asset price process and the volatility process. We first obtain expressions for the power series coefficients from a generalized Hull and White type formula studied by Alos. Afterwards, we provide representations turning out from the approach for the sensitivity problem tackled by Malliavin calculus techniques, and these allow to handle not only vanilla options.