Open Access
2014 Turbo Warrants under Hybrid Stochastic and Local Volatility
Min-Ku Lee, Ji-Hun Yoon, Jeong-Hoon Kim, Sun-Hwa Cho
Abstr. Appl. Anal. 2014: 1-10 (2014). DOI: 10.1155/2014/407145


This paper considers the pricing of turbo warrants under a hybrid stochastic and local volatility model. The model consists of the constant elasticity of variance model incorporated by a fast fluctuating Ornstein-Uhlenbeck process for stochastic volatility. The sensitive structure of the turbo warrant price is revealed by asymptotic analysis and numerical computation based on the observation that the elasticity of variance controls leverage effects and plays an important role in characterizing various phases of volatile markets.


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Min-Ku Lee. Ji-Hun Yoon. Jeong-Hoon Kim. Sun-Hwa Cho. "Turbo Warrants under Hybrid Stochastic and Local Volatility." Abstr. Appl. Anal. 2014 1 - 10, 2014.


Published: 2014
First available in Project Euclid: 26 March 2014

zbMATH: 07022329
MathSciNet: MR3166609
Digital Object Identifier: 10.1155/2014/407145

Rights: Copyright © 2014 Hindawi

Vol.2014 • 2014
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