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

Christian Bayer, Masaaki Fukasawa and Shonosuke Nakahara

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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.

Date: 2022-03
New Economics Papers: this item is included in nep-rmg
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