Weak error estimates for rough volatility models

DOI10.1214/24-AAP2109MaRDI QIDQ6974251zbMATH OpenFDO

Authors Peter Friz, William Salkeld, Thomas Wagenhofer

Publication date 10 June 2025

Published in The Annals of Applied Probability (Search for Journal in Brave)

zbMATH Keywords

fractional Brownian motionnumerical schemesrough volatility modelsweak error rate

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Derivative securities (option pricing, hedging, etc.) (91G20) Fractional processes, including fractional Brownian motion (60G22) Applications of rough analysis (60L90)

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Cited in

(2)

• Euler scheme for SDEs driven by fractional Brownian motions: integrability and convergence in law
• Weak error estimates for rough volatility models

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