WEAK ERROR RATES FOR OPTION PRICING UNDER LINEAR ROUGH VOLATILITY

DOI10.1142/S0219024922500297MaRDI QIDQ5878691

Raúl Tempone, Christian Bayer, Eric J. Hall

Publication date: 22 February 2023

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2009.01219

zbMATH Keywords

option pricingweak errornon-Markovian dynamicsEuler-Maruyamarough volatilityrough Stein-Stein model

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)

Related Items (2)

Cubature Method for Stochastic Volterra Integral Equations ⋮ Weak Error Rates of Numerical Schemes for Rough Volatility

Uses Software

• gen_distrib

Cites Work

• Unnamed Item
• Rate of convergence and asymptotic error distribution of Euler approximation schemes for fractional diffusions
• Fractional Brownian motion and the Markov property
• The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
• Weak convergence of a fully discrete approximation of a linear stochastic evolution equation with a positive-type memory term
• Affine representations of fractional processes with applications in mathematical finance
• Contingent Claims and Market Completeness in a Stochastic Volatility Model
• Volatility is rough
• The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density
• Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
• Pricing under rough volatility
• Representation of a fractional Brownian motion in terms of an infinite-dimensional Ornstein-Uhlenbeck process
• Multifactor Approximation of Rough Volatility Models
• Short-time near-the-money skew in rough fractional volatility models
• Open Classical Systems
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• Statistical challenges in microrheology
• The characteristic function of rough Heston models
• Expansion of the global error for numerical schemes solving stochastic differential equations
• A regularity structure for rough volatility
• Approximation of some processes
• The maximum rate of convergence for the approximation of the fractional Lévy area at a single point
• Hybrid scheme for Brownian semistationary processes

This page was built for publication: WEAK ERROR RATES FOR OPTION PRICING UNDER LINEAR ROUGH VOLATILITY