Valuation of options under a constant elasticity of variance process and stochastic volatility
研究了在资产价格服从恒定弹性方差过程且波动率随机时，欧式看涨期权的定价问题，推导出适用于短期限期权的渐近展开解析近似公式，并用原油期权市场数据验证了公式的拟合效果。
In this paper, we price European call options under a constant elasticity of variance process for the asset price and stochastic volatility. In particular, we derive an analytic approximation formula in the form of asymptotic expansions, which is valid for European options with short times to expiry. Further, we examine the performance of our formula on a market sample of short-tenor crude oil call options (traded on the International Commodities Exchange) and find that the formula provides an excellent fit to market prices.