@TechReport{	  it:2006-015,
  author	= {Jonas Persson and Jonatan Eriksson},
  title		= {Pricing Turbo Warrants},
  institution	= {Department of Information Technology, Uppsala University},
  department	= {Division of Scientific Computing},
  year		= {2006},
  number	= {2006-015},
  month		= mar,
  abstract	= {We numerically price the financial contracts named turbo
		  warrant that were released early in 2005. They have been
		  studied mathematically in \cite{Eriksson05} where explicit
		  pricing formulas for the Geometric Brownian motion were
		  derived. For more general underlying stochastic processes
		  we have no analytical formulas and numerical methods are
		  necessary. In this work two different methods are compared,
		  stochastic pricing using a Monte Carlo method and a
		  deterministic PDE approach using finite differences. The
		  methods are evaluated in terms of numerical efficiency,
		  computation time and accuracy. In the numerical experiments
		  the geometric Brownian motion has been used as underlying
		  stochastic process. Our results show that for low accuracy
		  the methods are almost equal in efficiency but for higher
		  accuracy the finite difference method is much more
		  efficient.}
}