论文标题
关于粗糙波动率模型的离散化收敛速度弱
On the weak convergence rate in the discretization of rough volatility models
论文作者
论文摘要
我们研究了粗糙波动率模型离散化的弱收敛速率。在一般型号下显示了下限$ 2H $的$ 2H $之后，其中$ h $是波动性过程的Hurst索引，我们在线性模型下给出了更尖锐的$ H + 1/2 $。
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.
