Abstract
Using classical Taylor series techniques, we develop a unified approach to pricing and implied volatility for European-style options in a general local-stochastic volatility setting. Our price approximations require only a normal CDF and our implied volatility approximations are fully explicit (ie, they require no special functions, no infinite series and no numerical integration). As such approximate prices can be computed as efficiently as Black-Scholes prices, and approximate implied volatilities can be computed nearly instantaneously.
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