Essec\Faculty\Model\Contribution {#2188
  #_index: "academ_contributions"
  #_id: "2864"
  #_source: array:26 [
    "id" => "2864"
    "slug" => "volatility-patterns-theory-and-some-evidence-from-the-dollar-mark-option-market"
    "yearMonth" => "1998-02"
    "year" => "1998"
    "title" => "Volatility Patterns: Theory and Some Evidence from the Dollar-Mark Option Market"
    "description" => "GESSER, V. et PONCET, P. (1998). Volatility Patterns: Theory and Some Evidence from the Dollar-Mark Option Market. <i>Journal of Derivatives</i>, pp. 46-61."
    "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 17:55:06"
    "publicationUrl" => null
    "publicationInfo" => array:3 [
      "pages" => "46-61"
      "volume" => null
      "number" => null
    ]
    "type" => array:2 [
      "fr" => "Articles"
      "en" => "Journal articles"
    ]
    "support_type" => array:2 [
      "fr" => "Revue scientifique"
      "en" => "Scientific journal"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "Cet article compare les mérites respectifs des modèles à volatilité stochastique de HESTON et de HULL & WHITE concernant la capacité à reproduire les "smiles " et les effets de structure par termes de volatilité constatés sur le marché des options dollar-mark. Avant de tester les modèles empiriquement, on fournit une méthode efficace de mise en oeuvre du modèle de HESTON. Ce dernier explique mieux les données que celui de HULL & WHITE."
      "en" => "This article compares the ability of the stochastic volatility models of HESTON and HULL & WHITE to explain the smile and maturity structure of implied volatilities for dollar-deutschmark options. We provide first an efficient technique for fitting HESTON's mean-reverting volatility model, then  show that HESTON's model gives a better fit to our data."
    ]
    "authors_fields" => array:2 [
      "fr" => "Finance"
      "en" => "Finance"
    ]
    "indexedAt" => "2024-04-26T02:22:52.000Z"
    "docTitle" => "Volatility Patterns: Theory and Some Evidence from the Dollar-Mark Option Market"
    "docSurtitle" => "Journal articles"
    "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">1998</span>"
    "keywordList" => ""
    "docPreview" => "<b>Volatility Patterns: Theory and Some Evidence from the Dollar-Mark Option Market</b><br><span>1998-02 | Journal articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="#" target="_blank">Volatility Patterns: Theory and Some Evidence from the Dollar-Mark Option Market</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 9.253974
  +"parent": null
}