a reduced basis method for option pricing with constant elacticity of variance

‎black-scholes pricing theory is one of the most important rule to calculate of option price‎. ‎various methods have been introduced for option pricing to overcome to the shortcoming of black-scholes model. ‎in this paper, ‎we investigate a reduced basis method and focus on basis functions constructed from a sequence of black-scholes solutions with different volatilities to approximate solution of rising equations from option pricing modelling under the constant elasticity of variance model. ‎the main goal of this paper is to present the details of the basis functions and aspects of the basis function under the constant elasticity of variance model. ‎then, ‎the efficiency of the method presented by numerical example.