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- W2034003471 abstract "Turbo warrants have experienced huge growth since they first appeared in late 2001. In some European countries, buying and selling turbo warrants constitutes 50% of all derivative trading nowadays. In Asia, the Hong Kong Exchange and Clearing Limited (HKEx) introduced the callable bull/bear contracts, which are essentially turbo warrants, to the market in 2006. Turbo warrants are special types of barrier options in which the rebate is calculated as another exotic option. Under the Black-Scholes dynamics, Eriksson (2005) has derived the closed form solution for turbo warrants and shows that it is less sensitive to the change in volatility when compared to vanilla options. Wong and Chan (2006) study the pricing under several stochastic volatility models and point out that turbo warrants can be very sensitive to the change in the shape of the volatility surface. As another possible factor contributing to the volatility surface is the jump in asset price, we obtain analytical solutions for turbo warrants under the double exponential jump diffusion model in terms of Laplace transforms in this paper. Our simulation verifies that the analytical solution is accurate and very efficient. The computational time is less than 1 second. We then examine the impact of jumps on Turbo warrants." @default.
- W2034003471 created "2016-06-24" @default.
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- W2034003471 date "2006-01-01" @default.
- W2034003471 modified "2023-10-16" @default.
- W2034003471 title "Analytical Valuation of Turbo Warrants Under Double Exponential Jump Diffusion" @default.
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- W2034003471 doi "https://doi.org/10.2139/ssrn.943373" @default.
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