The CEV model allows volatility to change with the underlying price, capturing a basic empirical regularity very relevant for option pricing, such as the volatility smile. Nevertheless, the standard CEV solution, using the non-central chi-square approach, still presents high computational times. In this paper, the CEV option pricing formula is computed using the semiclassical approximation of Feynman’s path integral. Our simulations show that the method is quite efficient and accurate compared to the standard CEV solution considering the pricing of European call options.

中文翻译：

---

使用路径积分的半经典近似值计算CEV期权定价公式

CEV模型允许波动率随基础价格而变化，捕获与期权定价非常相关的基本经验规律性，例如波动率微笑。但是，使用非中心卡方方法的标准CEV解决方案仍然需要大量的计算时间。在本文中，使用费曼路径积分的半经典近似来计算CEV期权定价公式。我们的仿真表明，考虑到欧洲看涨期权的定价，该方法与标准CEV解决方案相比非常高效且准确。