In this paper, we propose and study a novel continuous-time model, based on the well-known constant elasticity of variance (CEV) model, to describe the asset price process. The basic idea is that the volatility elasticity of the CEV model can not be treated as a constant from the perspective of stochastic analysis. To address this issue, we deduce the price process of assets from the perspective of volatility elasticity, propose the constant volatility elasticity (CVE) model, and further derive a more general variable volatility elasticity (VVE) model. Moreover, our model can describe the positive correlation between volatility and asset prices existing in the commodity markets, while CEV model can only describe the negative correlation. Through the empirical research on the financial market, many assets, especially commodities, often show this positive correlation phenomenon in some time periods, which shows that our model has strong practical application value. Finally, we provide the explicit pricing formula of European options based on our model. This formula has an elegant form convenient to calculate, which is similarly to the renowned Black-Scholes formula and of great significance to the research of derivatives market.
摘要： In the early days of the epidemic of coronavirus disease 2019 (COVID-19), due to insufficient knowledge of the pandemic, inadequate nucleic acid tests, lack of timely data reporting, etc., the origin time of the onset of COVID-19 is difficult to determine. Therefore, source tracing is crucial for infectious disease prevention and control. The purpose of this paper is to infer the origin time of pandemic of COVID-19 based on a data and model hybrid driven method. We model the testing positive rate to fit its actual trend, and use the least squares estimation to obtain the optimal model parameters. Further, the kernel density estimation is applied to infer the origin time of pandemic given the specific confidence probability. By selecting 12 representative regions in the United States for analysis, the dates of the first infected case with 50% confidence probability are mostly between August and October 2019, which are earlier than the officially announced date of the first confirmed case in the United States on January 20, 2020. The experimental results indicate that the COVID-19 pandemic in the United States starts to spread around September 2019 with a high confidence probability. In addition, the existing confirmed cases are also used in Wuhan City and Zhejiang Province in China to infer the origin time of COVID-19 and provide the confidence probability. The results show that the spread of COVID-19 pandemic in China is likely to begin in late December 2019.