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摘要翻译：
Dupire型局部波动率模型的稳健实现是每个期权交易大厅的一个重要问题。通常，这个（逆）问题是用两个步骤来解决的：(i)隐含波动率面的平滑参数化；(ii)根据所得看涨价格面计算本地波动率。从Lee(Math.Finance,2004）开始，许多文章都在讨论(i)点，特别是如何推断市场上未见过的极端罢工制度中的隐含波动性。在本文中，我们给出了直接的分析洞察局部波动在极端打击时的渐近行为。
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英文标题：
《Don't stay local - extrapolation analytics for Dupire's local volatility》
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作者：
Peter Friz, Stefan Gerhold
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最新提交年份：
2011
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
A robust implementation of a Dupire type local volatility model is an important issue for every option trading floor. Typically, this (inverse) problem is solved in a two step procedure : (i) a smooth parametrization of the implied volatility surface; (ii) computation of the local volatility based on the resulting call price surface. Point (i), and in particular how to extrapolate the implied volatility in extreme strike regimes not seen in the market, has been the subject of numerous articles, starting with Lee (Math. Finance, 2004). In the present paper we give direct analytic insights into the asymptotic behavior of local volatility at extreme strikes.
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PDF链接：
https://arxiv.org/pdf/1105.1267
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