It is known that Heston's stochastic volatility model exhibits moment explosion, and that the critical moment s+ can be obtained by solving (numerically) a simple equation. This yields a leading-order expansion for the implied volatility at large strikes: σBS(k, T)2T ∼ Ψ(s+ - 1) × k (Roger...

In this paper, we study the asymptotic behavior of the implied volatility in stochastic asset price models. We provide necessary and sufficient conditions for the validity of asymptotic equivalence in Lee's moment formulas, and obtain new asymptotic formulas for the implied volatility in asset...

The paper considers the asymptotic behavior of the implied volatility in stochastic asset price models with atoms. In such models, the asset price distribution has a singular component at zero. Examples of models with atoms include the constant elasticity of variance (CEV) model, jump-to-default...