I can't think of any references to it, but there's a lot of ways you could go about doing it.
If you go by carrying capacity, an elephant can cary about 6 times as much as a horse (this is based on the carrying capacity table and a Str of 28 for the elephant and 15 heavy horse). Logically, you could then price the elephant at 6 times the horse, which gives 1200 gp.
If you're in a setting where elephants are common (african, indian), this could be much lower. If you're in a setting where elephants are pretty rare, like a normal D+D setting, I'd raise it a bit, probably to 2400.
The purpose for the elephant might also play a big part in the cost. A war horse that's trained to not spook at loud noises or panic from pain costs more than a regular horse. From the little I know about elephants, they are much more skiddish, tend to freak out at the first time they're injured, and generally cause more trouble than they're worth in a battle (this is just a little tidbit from the little I know of Alexander the Great's attempts to use them in battle). Training an elephant for battle purposes would probably bump the cost up even higher.
Taking all of this into acount, I'd probably charge somewhere around 5000 gold for a war trained elephant in a normal D+D setting.