Before revision:  The difficulties then faced are computing a number of expectations induced by the Taylor expansion in a closed-form manner. We establish a fast calibration scheme under the assumption that the parameters are piecewise-constant .
After revision:  The difficulties then faced are computing a number of expectations induced by the Taylor expansion . Under the assumption of piecewise-constant parameters, we derive explicit pricing formulas and devise a fast calibration scheme under the assumption that the parameters are piecewise-constant .