Turbo Warrants under Hybrid Stochastic and Local Volatility

Figure 4

The prices of the turbo warrant call and the European vanilla call are drawn against 𝜎 under the CEV and SVCEV models. The parameters used here are 𝑆₀=10, 𝑟=0.05, 𝑞=0.03, 𝑇=1, 𝑇₀=0.2, 𝐻=9, 𝐾=8, 𝑊₂=−0.01, and 𝑊₃=0.0004.

(a) 𝜃=1.6

(b) 𝜃=2

(c) 𝜃=2.2