Weak error rates for option pricing under linear rough volatility

Christian Bayer, Eric Joseph Hall and Ra\'ul Tempone

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Abstract: In quantitative finance, modeling the volatility structure of underlying assets is vital to pricing options. Rough stochastic volatility models, such as the rough Bergomi model [Bayer, Friz, Gatheral, Quantitative Finance 16(6), 887-904, 2016], seek to fit observed market data based on the observation that the log-realized variance behaves like a fractional Brownian motion with small Hurst parameter, $H

Date: 2020-09, Revised 2021-12
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