Research The Characteristics Of Option Pricing Formula Under CEV Model

Inˉnancial market,option is a kind ofˉnancial derivatives ,and its priceis depending on the price of underlying asset.In this paper,we mainly considerhow to analyze the characteristics of European call option pricing formula underConstant Elasticity of Variance model.After getting accurate solutions of option pricing from di?erent values ofelastic factor by several variables transforms[15], we analyze the connection ofdi?erent solutions by using Limit Theorem,and get the characteristics of optionpricing formula by using Bessel functions,and then solve the in°uences of theprice of underlying asset, no-risk interest rate, volatility and time, last we discussthe connection of option pricing formulas under Constant Elasticity of Variancemodel and Black - Scholes model respectively.