Weak error approximation for rough and Gaussian mean-reverting stochastic volatility models

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Authors: Aurélien Alfonsi, Ahmed Kebaier
Cited by: 0

Abstract

For a class of stochastic models with Gaussian and rough mean-reverting volatility that embeds the genuine rough Stein-Stein model, we study the weak approximation rate when using a Euler type scheme with integrated kernels. Our first result is a weak convergence rate for the discretised rough Ornstein-Uhlenbeck process, that is essentially in $\min(3α-1,1)$, where $\frac{t^{α-1}}{Γ(α)} $ is the fractional convolution kernel with $α\in (1/2,1)$. Then, our main result is to obtain the same convergence rate for the corresponding stochastic rough volatility model with polynomial test functions.

Fields of Study & Subjects

Stochastic processes and financial applications Numerical methods for differential equations Fractional Differential Equations Solutions

Publication details

Journal / source
arXiv (Cornell University)
Publication date
20 February 2026
Language
EN
Document type
Preprint