Turbo Warrants under Hybrid Stochastic and Local Volatility

Figure 7

The sensitivity of the turbo warrant call and the European vanilla call to 𝑊₃ is drawn under the SVCEV model. The parameters used here are 𝑆₀=10, 𝑟=0.05, 𝑞=0.03, 𝑇=1, 𝑇₀=0.2, 𝐻=9, 𝐾=8, 𝜎=0.125, and 𝑊₂=−0.01.

(a) 𝜃=1.6

(b) 𝜃=1.8

(c) 𝜃=2

(d) 𝜃=2.2