Functional central limit theorems for rough volatility

DOI10.1007/s00780-024-00533-5zbMath1545.91305MaRDI QIDQ6565557

Blanka Horvath, Aitor Muguruza, Andreas Søjmark, Antoine Jacquier

Publication date: 2 July 2024

Published in: Finance and Stochastics (Search for Journal in Brave)

zbMATH Keywords

functional limit theoremsfractional Brownian motionbinomial treesrough volatility

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20) Functional limit theorems; invariance principles (60F17)

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