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.

中文翻译：

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方差过程和随机波动率恒定弹性下的期权估值

在本文中，我们在资产价格和随机波动率的恒定方差弹性过程下为欧式看涨期权定价。特别是，我们推导出渐近展开形式的解析近似公式，该公式适用于到期时间短的欧式期权。此外，我们检查了我们的公式在短期原油看涨期权（在国际商品交易所交易）的市场样本上的表现，发现该公式非常适合市场价格。