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Weak Error Rates for Option Pricing Under Linear Rough Volatility

出版	Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik, 2022
URL	http://books.google.com.hk/books?id=pbn1zgEACAAJ&hl=&source=gbs_api

註釋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