Abstract
Turbo warrants are liquidly traded financial derivative securities in over-the-counter and exchange markets in Asia and Europe. The structure of turbo warrants is similar to barrier options, but a lookback rebate will be paid if the barrier is crossed by the underlying asset price. Therefore, the turbo warrant price satisfies a partial differential equation (PDE) with a boundary condition that depends on another boundary-value problem (BVP) of PDE. Due to the highly complicated structure of turbo warrants, their valuation presents a challenging problem in the field of financial mathematics. This paper applies the homotopy analysis method to construct an analytic pricing formula for turbo warrants under stochastic volatility in a PDE framework. Copyright © 2013 Hoi Ying Wong and Mei Choi Chiu.
Original language | English |
---|---|
Article number | 682524 |
Journal | Abstract and Applied Analysis |
Volume | 2013 |
DOIs | |
Publication status | Published - 2013 |