A recursive pricing formula for a path-dependent option under the constant elasticity of variance diffusion

In this paper, we consider a path-dependent option in finance under the constant elasticity of variance diffusion. We use a perturbation argument and the probabilistic representation (the Feynman–Kac theorem) of a partial differential equation to obtain a complete asymptotic expansion of the option price in a recursive manner based on the Black–Scholes formula and prove rigorously the existence of the expansion with a convergence error.