Essec\Faculty\Model\Contribution {#2190
  #_index: "academ_contributions"
  #_id: "8518"
  #_source: array:26 [
    "id" => "8518"
    "slug" => "volatility-patterns-theory-and-evidence-from-the-foreign-exchange-option-market"
    "yearMonth" => "1996-03"
    "year" => "1996"
    "title" => "Volatility Patterns : Theory and Evidence from the Foreign Exchange Option Market"
    "description" => "GESSER, V. et PONCET, P. (1996). <i>Volatility Patterns : Theory and Evidence from the Foreign Exchange Option Market</i>. ESSEC Business School."
    "authors" => array:2 [
      0 => array:3 [
        "name" => "PONCET Patrice"
        "bid" => "B00000430"
        "slug" => "poncet-patrice"
      ]
      1 => array:1 [
        "name" => "GESSER V."
      ]
    ]
    "ouvrage" => ""
    "keywords" => []
    "updatedAt" => "2020-12-17 18:37:46"
    "publicationUrl" => null
    "publicationInfo" => array:3 [
      "pages" => null
      "volume" => null
      "number" => null
    ]
    "type" => array:2 [
      "fr" => "Documents de travail"
      "en" => "Working Papers"
    ]
    "support_type" => array:2 [
      "fr" => "Editeur"
      "en" => "Publisher"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "Nous comparons la capacité de deux modèles d'évaluation d'options (Haull et White, et Heston) à reproduire les schémas de volatilité implicite compatibles avec ceux observés sur les marchés d'options de change. L'utilisation des formules d'évaluation et de couverture de Heston améliore sensiblement les résultats obtenus à partir du modèle classique de Garman et Kholhagen."
      "en" => "We compare the ability of two popular option pricing models (Haull and White, and Heston) to produce volatility patterns compatible with those observed on foreign exchange option markets. Using Heston's pricing and hedging formulas brings about a significant improvement on Garman-Kholhagen's classical model."
    ]
    "authors_fields" => array:2 [
      "fr" => "Finance"
      "en" => "Finance"
    ]
    "indexedAt" => "2024-04-20T06:21:47.000Z"
    "docTitle" => "Volatility Patterns : Theory and Evidence from the Foreign Exchange Option Market"
    "docSurtitle" => "Working Papers"
    "authorNames" => "<a href="/cv/poncet-patrice">PONCET Patrice</a>, GESSER V."
    "docDescription" => "<span class="document-property-authors">PONCET Patrice, GESSER V.</span><br><span class="document-property-authors_fields">Finance</span> | <span class="document-property-year">1996</span>"
    "keywordList" => ""
    "docPreview" => "<b>Volatility Patterns : Theory and Evidence from the Foreign Exchange Option Market</b><br><span>1996-03 | Working Papers </span>"
    "docType" => "research"
    "publicationLink" => "<a href="#" target="_blank">Volatility Patterns : Theory and Evidence from the Foreign Exchange Option Market</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 8.910406
  +"parent": null
}