Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Hierarchical adaptive sparse grids and quasi Monte Carlo for option
  pricing under the rough Bergomi model   The rough Bergomi (rBergomi) model, introduced recently in [5], is a
promising rough volatility model in quantitative finance. It is a parsimonious
model depending on only three parameters, and yet remarkably fits with
empirical implied volatility surfaces. In the absence of analytical European
option pricing methods for the model, and due to the non-Markovian nature of
the fractional driver, the prevalent option is to use the Monte Carlo (MC)
simulation for pricing. Despite recent advances in the MC method in this
context, pricing under the rBergomi model is still a time-consuming task. To
overcome this issue, we have designed a novel, hierarchical approach, based on
i) adaptive sparse grids quadrature (ASGQ), and ii) quasi-Monte Carlo (QMC).
Both techniques are coupled with a Brownian bridge construction and a
Richardson extrapolation on the weak error. By uncovering the available
regularity, our hierarchical methods demonstrate substantial computational
gains with respect to the standard MC method, when reaching a sufficiently
small relative error tolerance in the price estimates across different
parameter constellations, even for very small values of the Hurst parameter.
Our work opens a new research direction in this field, i.e., to investigate the
performance of methods other than Monte Carlo for pricing and calibrating under
the rBergomi model.

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The categories of this paper are: dg-ga
33
The categories of this paper are: plasm-ph
5
The categories of this paper are: gr-qc
36
The categories of this paper are: cmp-lg
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The categories of this paper are: supr-con
29
The categories of this paper are: funct-an
14
The categories of this paper are: math-ph
23
The categories of this paper are: solv-int
16
The categories of this paper are: stat
26
The categories of this paper are: bayes-an
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The categories of this paper are: chao-dyn
8
The categories of this paper are: hep-ex
3
The categories of this paper are: physics
20
The categories of this paper are: acc-phys
13
The categories of this paper are: quant-ph
34
The categories of this paper are: chem-ph