TY - GEN A1 - De Marco, Stefano T1 - Rational Shapes of the Local Volatility Surface N2 - A robust implementation of a Dupire type local volatility model is an important issue for every option trading floor. In the present note we provide new analytic insights into the asymptotic behavior of local volatility in the wings. We present a general approximation formula and specialize it to the Heston model, showing that local variance is linear in the wings. This further justifies the choice of certain local volatility parametrizations. KW - Asymptotic methods in Finance KW - local volatility KW - saddle-point method KW - option pricing Y1 - 2012 UR - https://opus4.kobv.de/opus4-matheon/frontdoor/index/index/docId/1151 UR - https://nbn-resolving.org/urn:nbn:de:0296-matheon-11519 ER -