🤖 AI Summary
该研究通过将匹配条件表示为非线性热方程，解决了Bergomi-Guyon展开式中高次项神秘抵消的问题，提供了一种递归计算方法。
📝 Abstract
Alòs, Gatheral and Radoičić derived the Bergomi-Guyon expansion of the implied variance smile from the forest expansion of the cumulant generating function. Its coefficients are sums of products of diamond trees, with prefactors that are polynomials in the log-strike $k$. Matching moments order by order produces, at order $ε^\ell$, terms of degree greater than $\ell$ in $k$ that mysteriously cancel.
We show that, in suitable variables, the matching condition can be formulated as a nonlinear heat equation. The resulting recursion computes the prefactor of each product of trees from those of products of fewer trees, without generating the higher-degree terms; its only model-independent input is a cumulant series, which we compute in closed form. Consequently, at order $ε^\ell$ every prefactor has degree exactly $\ell$ in $k$. The prefactors are universal and need only be computed once. Code and coefficients are provided.