Closed-form expansion for option price under stochastic volatility model with concurrent jumps

We propose and implement a novel path-perturbation-based closed-form expansion for approximating option prices under a general class of models featuring stochastic volatility and jumps in both asset return and volatility. The expansion naturally employs formulas reported in the literature for pricing options under jump-diffusions with constant volatility as the leading term and provides corrections up to an arbitrary order. It offers an efficient computational tool for empirical analysis on the models through, e.g., calibration or estimation based on option data, in particular for flexible yet analytically intractable cases.