摘要翻译：
本文给出了与欧式看涨定价函数相关的隐含波动率的误差估计的渐近公式。我们证明了这些公式包含了隐含波动率的Lee矩公式和Benaim和Friz的尾翼公式。此外，我们还分析了不相关的Hull-White、Stein-Stein和Heston模型中股价分布的Pareto型尾，并给出了这些模型中呼叫定价函数的误差估计的渐近公式。
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英文标题：
《Asymptotic Formulas with Error Estimates for Call Pricing Functions and
  the Implied Volatility at Extreme Strikes》
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作者：
A. Gulisashvili
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最新提交年份：
2009
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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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英文摘要：
  In this paper, we obtain asymptotic formulas with error estimates for the implied volatility associated with a European call pricing function. We show that these formulas imply Lee's moment formulas for the implied volatility and the tail-wing formulas due to Benaim and Friz. In addition, we analyze Pareto-type tails of stock price distributions in uncorrelated Hull-White, Stein-Stein, and Heston models and find asymptotic formulas with error estimates for call pricing functions in these models.
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PDF链接：
https://arxiv.org/pdf/0906.0394