@article{Jacquier:2014:10.1007/s10690-014-9185-8,
author = {Jacquier, A and Mijatovic, A},
doi = {10.1007/s10690-014-9185-8},
journal = {Asia-Pacific Financial Markets},
pages = {263--280},
title = {Large deviations for the extended Heston model: the large-time case},
url = {http://dx.doi.org/10.1007/s10690-014-9185-8},
volume = {21},
year = {2014}
}

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TY  - JOUR
AB  - We study here the large-time behaviour of all continuous affine stochasticvolatility models (in the sense of Keller-Ressel) and deduce a closed-formformula for the large-maturity implied volatility smile. Based on refinementsof the Gartner-Ellis theorem on the real line, our proof reveals pathologicalbehaviours of the asymptotic smile. In particular, we show that the conditionassumed in Gatheral and Jacquier under which the Heston implied volatilityconverges to the SVI parameterisation is necessary and sufficient.
AU  - Jacquier,A
AU  - Mijatovic,A
DO  - 10.1007/s10690-014-9185-8
EP  - 280
PY  - 2014///
SN  - 1573-6946
SP  - 263
TI  - Large deviations for the extended Heston model: the large-time case
T2  - Asia-Pacific Financial Markets
UR  - http://dx.doi.org/10.1007/s10690-014-9185-8
UR  - http://arxiv.org/abs/1203.5020v1
UR  - http://hdl.handle.net/10044/1/11572
VL  - 21
ER  - 

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