Computing the CEV option pricing formula using the semiclassical approximation of path integral

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