Essec\Faculty\Model\Contribution {#2216
  #_index: "academ_contributions"
  #_id: "2286"
  #_source: array:26 [
    "id" => "2286"
    "slug" => "pricing-and-hedging-asian-options-on-interest-rates"
    "yearMonth" => "2000-10"
    "year" => "2000"
    "title" => "Pricing and Hedging Asian Options on Interest Rates"
    "description" => "PONCET, P. et QUITTARD-PINON, F. (2000). Pricing and Hedging Asian Options on Interest Rates. <i>Bankers, Markets and Investors</i>, pp. 5-14."
    "authors" => array:2 [
      0 => array:3 [
        "name" => "PONCET Patrice"
        "bid" => "B00000430"
        "slug" => "poncet-patrice"
      ]
      1 => array:1 [
        "name" => "QUITTARD-PINON F."
      ]
    ]
    "ouvrage" => ""
    "keywords" => []
    "updatedAt" => "2023-01-27 01:00:23"
    "publicationUrl" => null
    "publicationInfo" => array:3 [
      "pages" => "5-14"
      "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" => "En utilisant l'approche martingale, nous évaluons explicitement plusieurs options sur moyenne de taux dans un modèle de gamme des taux à un facteur où la structure de volatilité des prix des zéro-coupons est linéaire ou exponentielle. Puis nous calculons les sensibilités de la valeur de ces options en simulant différentes formes de la gamme des taux et en modifiant les principaux paramètres du modèle."
      "en" => "Using the martingale approach, we explicitly evaluate various Asian (average) options on interest rates in the context of a one-factor model of the yield curve and of either a linear or an exponential volatility structure for zero-coupon bond prices. We also compute the "Greek" derivatives of these options. We then study the behavior of these option prices by simulating various shapes for the yield curve and by changing various important parameters of the model."
    ]
    "authors_fields" => array:2 [
      "fr" => "Finance"
      "en" => "Finance"
    ]
    "indexedAt" => "2024-12-22T02:21:49.000Z"
    "docTitle" => "Pricing and Hedging Asian Options on Interest Rates"
    "docSurtitle" => "Journal articles"
    "authorNames" => "<a href="/cv/poncet-patrice">PONCET Patrice</a>, QUITTARD-PINON F."
    "docDescription" => "<span class="document-property-authors">PONCET Patrice, QUITTARD-PINON F.</span><br><span class="document-property-authors_fields">Finance</span> | <span class="document-property-year">2000</span>"
    "keywordList" => ""
    "docPreview" => "<b>Pricing and Hedging Asian Options on Interest Rates</b><br><span>2000-10 | Journal articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="#" target="_blank">Pricing and Hedging Asian Options on Interest Rates</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 9.341836
  +"parent": null
}