We study the strong approximation of a rough volatility model, in which the
log-volatility is given by a fractional Ornstein-Uhlenbeck process with Hurst
parameter H<1/2. Our methods are based on an equidistant discretization of
the volatility process and of the driving Brownian motions, respectively. For
the root mean-square error at a single point the optimal rate of convergence
that can be achieved by such methods is n−H, where n denotes the number
of subintervals of the discretization. This rate is in particular obtained by
the Euler method and an Euler-trapezoidal type scheme
