PT - JOURNAL ARTICLE AU - Hoi Ying Wong AU - Ka Yung Lau TI - Analytical Valuation of Turbo Warrants under Double Exponential Jump Diffusion AID - 10.3905/jod.2008.707211 DP - 2008 May 31 TA - The Journal of Derivatives PG - 61--73 VI - 15 IP - 4 4099 - https://pm-research.com/content/15/4/61.short 4100 - https://pm-research.com/content/15/4/61.full 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