Pricing of Perpetual Turbo-Warrants

Abstract

This article deals with the pricing of turbo-warrants and perpetual turbo-warrants. Turbo-warrants have been treated in several articles, whereas perpetual turbo-warrants studies are scarce as they are very recent products. In this work, exotic portfolios are constructed for replicating the infinite turbo-warrants and then to propose a price. Implementations for various models are proposed in the case of turbo-warrant as well as an application to historical data. An implementation is proposed for the perpetual turbo-warrant. Due to a lack of historic data of perpetual Turbo-warrants, numerical simulated results are presented. Properties are presented under the Geometric Brownian Motion model.

Keywords: turbo-warrants, perpetual turbo-warrants, pricing, implementation

JEL Classification: G12