Short Communication: On the Weak Convergence Rate in the Discretization of Rough Volatility Models

DOI10.1137/22M1482871zbMath1497.91338arXiv2203.02943MaRDI QIDQ5092721

Christian Bayer, Shonosuke Nakahara, Masaaki Fukasawa

Publication date: 22 July 2022

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2203.02943

zbMATH Keywords

weak errorduality approachrough volatility

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solution of discretized equations for initial value and initial-boundary value problems involving PDEs (65M22)

Related Items (4)

Cubature Method for Stochastic Volterra Integral Equations ⋮ MARKOVIAN STOCHASTIC VOLATILITY WITH STOCHASTIC CORRELATION — JOINT CALIBRATION AND CONSISTENCY OF SPX/VIX SHORT-MATURITY SMILES ⋮ Weak Error Rates of Numerical Schemes for Rough Volatility ⋮ Local volatility under rough volatility

Cites Work

• A duality approach for the weak approximation of stochastic differential equations
• The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
• Approximation of occupation time functionals
• The Malliavin Calculus and Related Topics
• Volatility is rough
• Pricing under rough volatility
• Volatility has to be rough
• Expansion of the global error for numerical schemes solving stochastic differential equations

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