RT Journal Article
SR Electronic
T1 Analytical Valuation of Turbo Warrants under Double Exponential Jump Diffusion
JF The Journal of Derivatives
FD Institutional Investor Journals
SP 61
OP 73
DO 10.3905/jod.2008.707211
VO 15
IS 4
A1 Hoi Ying Wong
A1 Ka Yung Lau
YR 2008
UL https://pm-research.com/content/15/4/61.abstract
AB A turbo call warrant is a kind of barrier option, which pays off like a European call if the barrier is not reached before expiration, but crossing the barrier causes the original call to be replaced by a lookback call with a different strike. This complicated instrument is strangely popular in the market. But valuation clearly presents some serious challenges. In this article, Wong and Lau dive into the problem and manage to obtain a closed-form pricing equation for the case in which the underlying asset follows a double exponential jump diffusion process.TOPICS: Options, statistical methods