Turbo Warrants under Hybrid Stochastic and Local Volatility

Figure 2

The turbo warrant call prices for different values of 𝑊₂ and 𝑊₃ under the SVCEV model are drawn. 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, and 𝐾=8.

(a) 𝑊₃=0.0004

(b) 𝑊₂=−0.01