Name
Title | ||
|---|---|---|
Short Communication: On the Weak Convergence Rate in the Discretization of Rough Volatility Models |
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. |
Year | DOI | Venue |
|---|---|---|
2022 | 10.1137/22M1482871 | SIAM JOURNAL ON FINANCIAL MATHEMATICS |
Keywords | DocType | Volume |
weak error, duality approach, rough volatility | Journal | 13 |
Issue | ISSN | Citations |
2 | 1945-497X | 0 |
PageRank | References | Authors |
0.34 | 0 | 3 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Christian Bayer | 1 | 0 | 0.68 |
| Masaaki Fukasawa | 2 | 0 | 0.34 |
| Shonosuke Nakahara | 3 | 0 | 0.34 |