Turbo Warrants under Hybrid Stochastic and Local Volatility

被引：1

作者：

Lee, Min-Ku ^{[1
]}

Yoon, Ji-Hun ^{[2
]}

Kim, Jeong-Hoon ^{[3
]}

Cho, Sun-Hwa ^{[3
]}

机构：

[1] Sungkyunkwan Univ, Dept Math, Suwon 440746, Gyeonggi Do, South Korea

[2] Seoul Natl Univ, Dept Math Sci, Seoul 151747, South Korea

[3] Yonsei Univ, Dept Math, Seoul 120749, South Korea

来源：

ABSTRACT AND APPLIED ANALYSIS | 2014年

基金：

新加坡国家研究基金会;

关键词：

OPTIONS; VALUATION;

D O I：

10.1155/2014/407145

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

This paper considers the pricing of turbo warrants under a hybrid stochastic and local volatility model. The model consists of the constant elasticity of variance model incorporated by a fast fluctuating Ornstein-Uhlenbeck process for stochastic volatility. The sensitive structure of the turbo warrant price is revealed by asymptotic analysis and numerical computation based on the observation that the elasticity of variance controls leverage effects and plays an important role in characterizing various phases of volatile markets.

引用

页数：10

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