LARGE DEVIATIONS FOR THE EXTENDED HESTON MODEL: THE LARGE-TIME CASE

Abstract. We study the large-time behaviour of all continuous affine stochastic volatility models 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 [Gatheral-Jacquier 2011].

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