Option Pricing In CEV Model With Lie Symmetry Analysis

In this paper,We mainly consider how to obtain the solution of European call option pricing following Constant Elasticity of Variance Model.Option is financial derivatives whose price is up to the price of underlying assets.By using the Lie symmetry analysis,we are able to give the accurate solution.we are able to rewrite option pricing equation by several variables transforms. We can get some Lie symmetries of the Fokker-Planck equation and some equations after similarity reduction.So we can get some ordinary differential equations which are solved easily.In the end,we study these accurate solutions and their parameters.