On the weak convergence rate in the discretization of rough volatility models
Computational Finance
2022-03-08 v1
Abstract
We study the weak convergence rate in the discretization of rough volatility models. After showing a lower bound under a general model, where is the Hurst index of the volatility process, we give a sharper bound under a linear model.
Cite
@article{arxiv.2203.02943,
title = {On the weak convergence rate in the discretization of rough volatility models},
author = {Christian Bayer and Masaaki Fukasawa and Shonosuke Nakahara},
journal= {arXiv preprint arXiv:2203.02943},
year = {2022}
}