Turbo Warrants under Hybrid Stochastic and Local Volatility

Figure 3

The turbo warrant call prices under the CEV model and the first correction term of the SVCEV model are drawn. The parameters used here are given by 𝑆₀=10, 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