On the weak convergence rate in the discretization of rough volatility models

Autor:	Bayer, Christian, Fukasawa, Masaaki, Nakahara, Shonosuke
Rok vydání:	2022
Předmět:	Quantitative Finance - Computational Finance
Druh dokumentu:	Working Paper
Popis:	We study the weak convergence rate in the discretization of rough volatility models. After showing a lower bound $2H$ under a general model, where $H$ is the Hurst index of the volatility process, we give a sharper bound $H + 1/2$ under a linear model.
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2203.02943 Zobrazit plný text záznamu View this record from Arxiv