Weak Error Rates of Numerical Schemes for Rough Volatility

DOI10.1137/22m1485760zbMath1517.91280arXiv2203.09298OpenAlexW4320167437MaRDI QIDQ6159079

Paul Gassiat

Publication date: 1 June 2023

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

Full work available at URL: https://arxiv.org/abs/2203.09298

zbMATH Keywords

fractional Brownian motionnumerical schemesrough volatilityweak convergence rates

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Fractional processes, including fractional Brownian motion (60G22) Probabilistic models, generic numerical methods in probability and statistics (65C20)

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