Pricing Turbo Warrants under Mixed-Exponential Jump Diffusion Model

Turbo warrant is a special type of barrier options in which the rebate is calculated as another exotic option. In this paper, using Laplace transforms we obtain the valuation of turbo warrants under mixed-exponential jump diffusion model, which is able to approximate any jump size distribution. Numerical Laplace inversion examples based on the Euler method verify that the analytical solutions are accurate and efficient

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Year of publication:	2015
Authors:	Yu, Jianfeng
Other Persons:	Xu, Weidong (contributor) ; Wu, Chongfeng (contributor)
Publisher:	[2015]: [S.l.] : SSRN
Subject:	Optionspreistheorie \| Option pricing theory \| Optionsgeschäft \| Option trading \| Innovationsdiffusion \| Innovation diffusion \| Optionsanleihe \| Warrant bond \| Preistheorie \| Price theory
Description of contents:	Abstract [papers.ssrn.com] ; Abstract [doi.org]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 20, 2014 erstellt Volltext nicht verfügbar
Other identifiers:	10.2139/ssrn.2362911 [DOI]
Classification:	G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013034629