Turbo warrants under hybrid stochastic and local volatility

Min Ku Lee, Ji Hun Yoon, Jeong Hoon Kim, Sun Hwa Cho

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

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.

Original languageEnglish
Article number407145
JournalAbstract and Applied Analysis
Volume2014
DOIs
Publication statusPublished - 2014 Feb 4

Fingerprint

Volatility
Elasticity
Leverage Effect
Stochastic Volatility
Asymptotic analysis
Ornstein-Uhlenbeck Process
Volatiles
Asymptotic Analysis
Numerical Computation
Pricing
Model
Costs
Observation
Market

All Science Journal Classification (ASJC) codes

  • Analysis
  • Applied Mathematics

Cite this

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title = "Turbo warrants under hybrid stochastic and local volatility",
abstract = "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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Turbo warrants under hybrid stochastic and local volatility. / Lee, Min Ku; Yoon, Ji Hun; Kim, Jeong Hoon; Cho, Sun Hwa.

In: Abstract and Applied Analysis, Vol. 2014, 407145, 04.02.2014.

Research output: Contribution to journalArticle

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