Before revision:  While the explicit Euler method is known to converge to the solution of the rough Bergomi model, the strong rate of convergence is only H. We prove rate H + 1/2 for the weak convergence of the Euler method and, surprisingly, in the case of quadratic payoff functions we obtain rate one.
After revision:  While the explicit Euler method is known to converge to the solution of the rough Bergomi model, its strong rate of convergence is only H. We prove rate H + 1/2 for the weak convergence of the Euler method and, surprisingly, in the case of quadratic payoff functions we obtain rate one.