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...

We study here the large-time behaviour of all continuous affine stochastic volatility models [in the sense of Keller-Ressel (Math Finan 21(1):73–98, <CitationRef CitationID="CR14">2011</CitationRef>)] and deduce a closed-form formula for the large-maturity implied volatility smile. We concentrate on (rescaled) strikes around the money,...</citationref>