École Nationale Supérieure de
Techniques Avancées

Abstract

We use three different methods to simulate the European call option pricing in the rough Bergomi model of Bayer. Riemann-sum, an exact method based on the Cholesky factorization, and the hybrid method which is proposed in The programming language C++ is used to realize the simulation. We chose the result of the exact method as reference, and compare it with the results of other methods. The exact method can give us a good result, but it requires too much time to finish the computation. The method Riemann-sum works badly in this kind of simulation. But the method hybrid scheme provides an efficient and accurate way to simulate the European call option pricing in the rough Bergomi model of Bayer.