Weak order one is proven for a half-step Euler discretization of local stochastic volatility dynamics, with the particle approximation error quantified in terms of step size, regularization, and number of particles.
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On the Weak Error for Local Stochastic Volatility Models
Weak order one is proven for a half-step Euler discretization of local stochastic volatility dynamics, with the particle approximation error quantified in terms of step size, regularization, and number of particles.