Turbo Warrants under Hybrid Stochastic and Local Volatility

Figure 1

The leading term and the first correction term of the turbo warrant call price is drawn under the SVCEV model with respect to time to maturity and stock price. The parameters used here are 𝑆₀=10, 𝜃=1.8, 𝑟=0.05, 𝑞=0.03, 𝜎=0.125, 𝑇=1, 𝑇₀=0.2, 𝐻=9, 𝐾=8, 𝑊₂=−0.01, and 𝑊₃=0.0004.

(a) 𝑃₀

(b) √𝜖𝑃₁