We compute the large-maturity smile for the correlated Stein–Stein stochastic volatility model dSt=StYtdWt1,dYt=κ(θ−Yt)dt+σdWt2, dWt1dWt2=ρdt, using the known closed-form solution for the characteristic function of the log stock price given in Schöbel and Zhu (1999). The Stein–Stein...

This paper mainly discusses the asymptotic properties of multi-casting autoregressive processes. By using the m-dependence of random vectors, we prove that the least squares (LS) estimator of the unknown parameters satisfies the moderate deviation principle. Two examples of regular cases are...