  In this paper, we study the asymptotic behaviors of implied volatility of an
affine jump-diffusion model. Let log stock price under risk-neutral measure
follow an affine jump-diffusion model, we show that an explicit form of moment
generating function for log stock price can be obtained by solving a set of
ordinary differential equations. A large-time large deviation principle for log
stock price is derived by applying the G\"{a}rtner-Ellis theorem. We
characterize the asymptotic behaviors of the implied volatility in the
large-maturity and large-strike regime using rate function in the large
deviation principle. The asymptotics of the Black-Scholes implied volatility
for fixed-maturity, large-strike and fixed-maturity, small-strike regimes are
also studied. Numerical results are provided to validate the theoretical work.
