The Order Barrier for Strong Approximation of Rough Volatility Models

Abstract: We study the strong approximation of a rough volatility model, in which the log-volatility is given by a fractional Ornstein-Uhlenbeck process with Hurst parameter $H<1/2$. Our methods are based on an equidistant discretization of the volatility process and of the driving Brownian motions, respectively. For the root mean-square error at a single point the optimal rate of convergence that can be achieved by such methods is $n^{-H}$, where $n$ denotes the number of subintervals of the discretization. This rate is in particular obtained by the Euler method and an Euler-trapezoidal type scheme.