摘要翻译：
本文研究了所有连续仿射随机波动率模型（在Keller-Ressel意义下）的大时间行为，导出了大成熟度隐含波动率微笑的闭式公式。基于实线上Gartner-Ellis定理的改进，我们的证明揭示了渐近微笑的病理行为。特别地，我们证明了Gatheral和Jacquier中假设的Heston隐含波动率收敛于SVI参数的条件是充分必要条件。
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英文标题：
《Large deviations for the extended Heston model: the large-time case》
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作者：
Antoine Jacquier, Aleksandar Mijatovic
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最新提交年份：
2012
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
  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 particular, we show that the condition assumed in Gatheral and Jacquier under which the Heston implied volatility converges to the SVI parameterisation is necessary and sufficient.
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PDF链接：
https://arxiv.org/pdf/1203.5020