Computing the Constant Elasticity of Variance Option Pricing Formula
用非中心卡方分布表达常数弹性方差期权定价公式，从而应用已知近似公式并推导出一类闭式解，同时给出一个简单高效的计算该分布的算法。
ABSTRACT This paper expresses the constant elasticity of variance option pricing formula in terms of the noncentral chi‐square distribution. This allows the application of well‐known approximation formulas and the derivation of a whole class of closed‐form solutions. In addition, a simple and efficient algorithm for computing this distribution is presented.