Abstract: The author studied a class of composite model of stochastic volatility model with reflection and constant elastic variance (CEV) model by using martingale methods. The author used the confluent hypergeometric function to express a kind of expectation of first passage time and volatility, and discussed the case where one of the confluent hypergeometric functions did not exist when the parameters of the model took some special values.

Key words: stochastic volatility model, confluent hypergeometric function, reflected process, first passage time