Large-Maturity Regimes of the Heston Forward Smile
Large-Maturity Regimes of the Heston Forward Smile
复制标题
赫斯顿前向微笑的成熟机制
DOI：
--
复制
发表时间：
2014
期刊：
影响因子：
--
通讯作者：
P. Roome
中科院分区：
文献类型：
--
作者：
A. Jacquier;P. Roome
我们在赫斯顿模型中提供了大到期远期隐含波动率微笑的完整特征。虽然领先的衰减是由一个相当经典的大偏差行为，代数扩展提供高阶项高度依赖于参数，不同的权力的成熟发挥作用。作为一个副产品的分析，我们提供了新的隐含波动率渐近，无论是在远期的情况下，在现货的情况下，以及扩展的SVI型公式。证明是基于扩展和改进的尖锐的大偏差理论，特别是在标准凸参数失败的情况下。
We provide a full characterisation of the large-maturity forward implied volatility smile in the Heston model. Although the leading decay is provided by a fairly classical large deviations behaviour, the algebraic expansion providing the higher-order terms highly depends on the parameters, and different powers of the maturity come into play. As a by-product of the analysis we provide new implied volatility asymptotics, both in the forward case and in the spot case, as well as extended SVI-type formulae. The proofs are based on extensions and refinements of sharp large deviations theory, in particular in cases where standard convexity arguments fail.