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2013 Homotopy Analysis Method for Boundary-Value Problem of Turbo Warrant Pricing under Stochastic Volatility
Hoi Ying Wong, Mei Choi Chiu
Abstr. Appl. Anal. 2013(SI51): 1-5 (2013). DOI: 10.1155/2013/682524

Abstract

Turbo warrants are liquidly traded financial derivative securities in over-the-counter and exchange markets in Asia and Europe. The structure of turbo warrants is similar to barrier options, but a lookback rebate will be paid if the barrier is crossed by the underlying asset price. Therefore, the turbo warrant price satisfies a partial differential equation (PDE) with a boundary condition that depends on another boundary-value problem (BVP) of PDE. Due to the highly complicated structure of turbo warrants, their valuation presents a challenging problem in the field of financial mathematics. This paper applies the homotopy analysis method to construct an analytic pricing formula for turbo warrants under stochastic volatility in a PDE framework.

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Hoi Ying Wong. Mei Choi Chiu. "Homotopy Analysis Method for Boundary-Value Problem of Turbo Warrant Pricing under Stochastic Volatility." Abstr. Appl. Anal. 2013 (SI51) 1 - 5, 2013. https://doi.org/10.1155/2013/682524

Information

Published: 2013
First available in Project Euclid: 26 February 2014

zbMATH: 1273.91447
MathSciNet: MR3035227
Digital Object Identifier: 10.1155/2013/682524

Rights: Copyright © 2013 Hindawi

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Vol.2013 • No. SI51 • 2013
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