Functional central limit theorems for rough volatility
The non-Markovian nature of rough volatility makes Monte Carlo methods challenging, and it is in fact a major challenge to develop fast and accurate simulation algorithms. We provide an efficient one for stochastic Volterra processes, based on an extension of Donsker’s approximation of Brownian moti...
| Main Authors: | , , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Springer
2024
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