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

2022/03/06 by Christian Bayer, Bayer, Christian, Masaaki Fukasawa +3
Economics, Econometrics and Finance · Mathematics · #Stochastic processes and financial applications #Financial Risk and Volatility Modeling #Markov Chains and Monte Carlo Methods

paper · pdf · doi:10.48550/arxiv.2203.02943

Abstract

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.

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