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math.PR2026
Weak error approximation for rough and Gaussian mean-reverting stochastic volatility models
Aurélien Alfonsi, Ahmed Kebaier
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…
q-fin.CP2026
How can the dual martingale help solving the primal optimal stopping problem?
Aurélien Alfonsi, Ahmed Kebaier, Jérôme Lelong
Motivated by recent results on the dual formulation of optimal stopping problems, we investigate in this short paper how the knowledge of an approximating dual martingale can impro…