On the weak convergence rate in the discretization of rough volatility models

TL;DR

This paper investigates the weak convergence rates in discretizing rough volatility models, establishing bounds that depend on the Hurst index, with sharper results for linear models.

Contribution

It provides a lower bound of 2H and a sharper bound of H + 1/2 for weak convergence rates in discretized rough volatility models.

Findings

Lower bound of 2H for general models

Sharper bound of H + 1/2 for linear models

Contributes to understanding discretization errors in rough volatility modeling

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.