@prefix dcat: <http://www.w3.org/ns/dcat#> .
@prefix dct: <http://purl.org/dc/terms/> .
@prefix foaf: <http://xmlns.com/foaf/0.1/> .
@prefix vcard: <http://www.w3.org/2006/vcard/ns#> .
@prefix xsd: <http://www.w3.org/2001/XMLSchema#> .

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    dct:description """
              In this article, we propose an analytical approximation for the pricing of European op- tions for some lognormal stochastic volatility models. This approximation is a second-order Taylor series expansion of the Fourier transform with respect to the "volatility of volatility". We give, using these formulas, a new method of variance reduction for the Monte-Carlo simulation of the trajectories of the underlying.
            """ ;
    dct:identifier "hal-00623935" ;
    dct:issued "2026-05-11T00:24:40.647745"^^xsd:dateTime ;
    dct:language "en" ;
    dct:modified "2026-05-11T00:24:40.647749"^^xsd:dateTime ;
    dct:publisher <https://rec.harvest-normandie.data4citizen.com/organization/cce9db95-46d9-4dc2-84b6-764215d0a002> ;
    dct:title "Option pricing for stochastic volatility models : Vol-of-Vol expansion" ;
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            vcard:fn "CCSD" ] ;
    dcat:distribution <https://rec.harvest-normandie.data4citizen.com/dataset/oai-hal-hal-00623935v4/resource/854d24da-102d-48b4-a266-c86a3f86b21a> ;
    dcat:keyword "european-options",
        "expansion",
        "fourier-transform",
        "implied-volatility",
        "infoeu-reposemanticspreprint",
        "lognormal-model",
        "mathmath-prmathematics-mathprobability-mathpr",
        "preprints-working-papers-",
        "stochastic-volatility",
        "volatility-of-volatility" ;
    dcat:landingPage <https://hal.science/hal-00623935> .

<https://rec.harvest-normandie.data4citizen.com/dataset/oai-hal-hal-00623935v4/resource/854d24da-102d-48b4-a266-c86a3f86b21a> a dcat:Distribution ;
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    dct:issued "2026-05-11T00:24:40.665001"^^xsd:dateTime ;
    dct:modified "2026-05-11T00:24:40.635951"^^xsd:dateTime ;
    dct:title "Option pricing for stochastic volatility models : Vol-of-Vol expansion" ;
    dcat:accessURL <https://hal.science/hal-00623935> .

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<https://hal.science/hal-00623935> a foaf:Document .