Friz, P.; Gerhold, S.; Gulisashvili, A.; Sturm, S. - arXiv.org - 2010
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: $\sigma_{BS}( k,T)^{2}T\sim \Psi...