Option Pricing under the CEV Model in a Composite-diffusive Regime

Zhidong Guo, Yunliang Zhang
2018 Proceedings of the 2018 3rd International Conference on Modelling, Simulation and Applied Mathematics (MSAM 2018)   unpublished
Constant elasticity of variance model for option pricing in a composite-diffusive regime is established. We obtain the Black-Scholes differential equation and the corresponding Black-Scholes formula for the prices of European call option. Furthermore, we discuss an asymptotic expansion of the European call option price as the elasticity factor tends to 2.
doi:10.2991/msam-18.2018.24 fatcat:fwiky6y5krhdzb4t2dylkjbgau