<r>This post is perhaps much too late, but the local university library only subscribes to the journal electronically with a 1-year embargo imposed by the publisher. The title and the abstract promises a false hope of yet another way to calibrate the local volatility surface. Googling the paper turn...

<t>"close" form doesn't always translate to faster computation, particularly an infinite series whose terms all contain double integrals. Think about binomial tree or FD solutions. Let a_n be the option price when maturity is partitioned into n equal sections. a_n, written explicitly, is just a seri...