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On the weak convergence rate in the discretization of rough volatility models
Published 6 Mar 2022 in q-fin.CP | (2203.02943v1)
Abstract: We study the weak convergence rate in the discretization of rough volatility models. After showing a lower bound $2H$ under a general model, where $H$ is the Hurst index of the volatility process, we give a sharper bound $H + 1/2$ under a linear model.
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