A new closed-form WKB kernel for CEV option pricing is derived, differing from and claimed to correct an earlier semiclassical formula.
and Morales-Ruiz, J.J., Integrability of stochastic birth-death processes via differential Galois theory.Mathematical Modelling of Natural Phenomena15(2020) 70
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Semiclassical CEV Option Pricing Model: an Analytical Approach
A new closed-form WKB kernel for CEV option pricing is derived, differing from and claimed to correct an earlier semiclassical formula.