Large Deviations for the Extended Heston Model: The Large-Time Case |
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Authors: | Antoine Jacquier Aleksandar Mijatovi? |
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Institution: | 1. Department of Mathematics, Imperial College London, London, UK
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Abstract: | We study here the large-time behaviour of all continuous affine stochastic volatility models in the sense of Keller-Ressel (Math Finan 21(1):73–98, 2011)] and deduce a closed-form formula for the large-maturity implied volatility smile. We concentrate on (rescaled) strikes around the money, which are the most common in practice, and extend the results in Forde and Jacquier (Finan Stoch 15(4):755–780, 2011) and Gatheral and Jacquier (Quant Finan 11(8):1129–1132, 2011). |
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