Large deviations for the extended Heston model: the large-time case
Large deviations for the extended Heston model: the large-time case
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St. Louis: Federal Reserve Bank of St. Louis
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English
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St. Louis: Federal Reserve Bank of St. Louis
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We study here the large-time behaviour of all continuous affine stochastic volatility models (in the sense of Keller-Ressel) and deduce a closed-form formula for the large-maturity implied volatility smile. Based on refinements of the Gartner-Ellis theorem on the real line, our proof reveals pathological behaviours of the asymptotic smile. In parti...
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Large deviations for the extended Heston model: the large-time case
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TN_cdi_proquest_journals_1697578297
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https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_1697578297
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https://www.proquest.com/docview/1697578297?pq-origsite=primo&accountid=13902
