Christian de Peretti

finance seminar

Christian de Peretti

Ecole Centrale de Lyon, Université de Lyon
Pricing perpetual turbo-warrants - An application to the Hong Kong exchange market
Joint with
Ghaith Ben Achour
Event cancelled
Venue

MEGA

MEGA

Maison de l'économie et de la gestion d'Aix
424 chemin du viaduc
13080 Aix-en-Provence

Date(s)
Tuesday, June 15 2021| 2:30pm
Contact(s)

Eric Girardin: eric.girardin[at]univ-amu.fr
Christelle Lecourt: christelle.lecourt[at]univ-amu.fr

Abstract

This article deals with the pricing of turbo warrants and perpetual turbo warrants. (Non perpetual) turbo warrants have already been treated in several articles, but no application has been run to check the validity of the pricing formula. On another hand, perpetual turbo warrants studies are scarce as they are recent financial instruments. In this work, an application to Hong Kong exchange market is provided for the (non perpetual) turbo warrants. Then, exotic portfolios are constructed for replicating the perpetual turbo warrants and then to propose a price. Due to a lack of historic data of perpetual Turbos, only numerical simulated results are presented for perpetual turbo warrants. Properties are presented under the Geometric Brownian Motion model.