Turbo Warrants under Hybrid Stochastic and Local Volatility

Figure 5

The turbo warrant call price against 𝜃 is drawn under the CEV and SVCEV models. The parameters used here are 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.