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Short Communication: On the Weak Convergence Rate in the Discretization of Rough Volatility Models.

Christian BayerMasaaki FukasawaShonosuke Nakahara
Published in: SIAM J. Financial Math. (2022)
Keyphrases
  • convergence rate
  • step size
  • learning rate
  • rough sets
  • convergence speed
  • evolutionary algorithm
  • ant colony optimization
  • sar images
  • global optimum