2026-07-072026-07-07http://salesiana.dossiersoluciones.com/handle/123456789/208946This paper develops a European option pricing formula for fractional market models. Although there exist option pricing results for a fractional Black-Scholes model, they are established without accounting for stochastic volatility. In this paper, a fractional version of the Constant Elasticity of Variance (CEV) model is developed. European option pricing formula similar to that of the classical CEV model is obtained and a volatility skew pattern is revealed.Published at http://dx.doi.org/10.1214/074921706000001012 in the IMS Lecture Notes Monograph Series (http://www.imstat.org/publications/lecnotes.htm) by the Institute of Mathematical Statistics (http://www.imstat.org)Statistics TheoryPricing of Securities91B28, 91B70 (Primary) 60H15, 60H40 (Secondary)text