Asymptotic behavior of the stock price distribution density and implied volatility in stochastic volatility models (Q1959682)

This paper studies the asymptotic behavior of distribution densities arising in stock price models with stochastic volatility arising in the Stein-Stein and the Heston models. Sharp asymptotic formulas for the implied volatility in these models are obtained. A theorem on the asymptotic inversion for the Laplace transform is proved, which is useful in the study of of the asymptotic behavior of the mixing distribution density.