英文标题：
《Large-Maturity Regimes of the Heston Forward Smile》
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作者：
Antoine Jacquier and Patrick Roome
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最新提交年份：
2015
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英文摘要：
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.
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中文摘要：
我们提供了赫斯顿模型中大到期远期隐含波动率微笑的完整特征。虽然领先衰变是由一个相当经典的大偏差行为提供的，但提供高阶项的代数展开在很大程度上取决于参数，不同的成熟度幂起作用。作为分析的副产品，我们在远期和即期情况下提供了新的隐含波动率渐近性，以及扩展的SVI型公式。这些证明基于大偏差理论的扩展和完善，尤其是在标准凸性参数失效的情况下。
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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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