Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Asymptotic analysis of stock price densities and implied volatilities in
  mixed stochastic models   In this paper, we obtain sharp asymptotic formulas with error estimates for
the Mellin convolution of functions, and use these formulas to characterize the
asymptotic behavior of marginal distribution densities of stock price processes
in mixed stochastic models. Special examples of mixed models are jump-diffusion
models and stochastic volatility models with jumps. We apply our general
results to the Heston model with double exponential jumps, and make a detailed
analysis of the asymptotic behavior of the stock price density, the call option
pricing function, and the implied volatility in this model. We also obtain
similar results for the Heston model with jumps distributed according to the
NIG law.

36
The categories of this paper are: cmp-lg
26
The categories of this paper are: bayes-an
6
The categories of this paper are: astro-ph
34
The categories of this paper are: chem-ph
3
The categories of this paper are: physics
5
The categories of this paper are: gr-qc
37
The categories of this paper are: supr-con
15
The categories of this paper are: nucl-ex
30
The categories of this paper are: q-alg
2
The categories of this paper are: math
7
The categories of this paper are: hep-th
8
The categories of this paper are: hep-ex
14
The categories of this paper are: math-ph
24
The categories of this paper are: dg-ga
33
The categories of this paper are: plasm-ph
1
The categories of this paper are: cs