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- W950903826 abstract "We consider wing asymptotics of local volatility surfaces. While our recent paper in the journal Risk (De Marco et al. Risk 2:82–87, 2013, [3]) discusses our approximation formula from a practical and numerical perspective, the present paper focuses on rigorous proofs of the approximations. We apply the saddle point method (Heston model) and Hankel contour integration (variance gamma model)." @default.
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- W950903826 date "2015-01-01" @default.
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- W950903826 title "Extrapolation Analytics for Dupire’s Local Volatility" @default.
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- W950903826 doi "https://doi.org/10.1007/978-3-319-11605-1_10" @default.
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