Simulation of Error Bounds

Companion code for article "Weak error estimates for rough volatility models". The first author acknowledges support from the German science foundation (DFG) viathe cluster of excellence MATH+, as PI of project AA4-2. The second author was supported by MATH+ projectAA4-2, while this project was initiated, and then by the US Office of Naval Research under the Vannevar BushFaculty Fellowship N0014-21-1-2887. The third author was supported by the German science foundation (DFG)via MATH+, as PhD student in the Berlin Mathematical School (BMS).

Related Organizations

Weierstrass Institute for Applied Analysis and Stochastics
Germany
University of Nottingham
United Kingdom
Leibniz Association
Germany
Technical University of Berlin
Germany

Keywords

Computational Finance, Statistics and probability

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