Before revision: We propose a class of equity models whose volatility, L\'evy measure , and killing rate all have local stochastic state-dependence. In this framework we find a closed form solution for the price of any European-style option.
After revision: We propose a class of equity models whose volatility, L\'evy measure . Using techniques from regular perturbation theory and Fourier analysis, we derive a series expansion for the price of any European-style option.