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Proceedings of the 2018 3rd International Conference on Modelling, Simulation and Applied Mathematics (MSAM 2018)
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