Essec\Faculty\Model\Contribution {#2205
  #_index: "academ_contributions"
  #_id: "8029"
  #_source: array:26 [
    "id" => "8029"
    "slug" => "evaluation-des-options-sur-obligations-et-sur-contrats-a-terme-dobligations"
    "yearMonth" => "1995-02"
    "year" => "1995"
    "title" => "Evaluation des options sur obligations et sur contrats à terme d'obligations"
    "description" => "MELLIOS, K. et PONCET, P. (1995). <i>Evaluation des options sur obligations et sur contrats à terme d'obligations</i>. ESSEC Business School."
    "authors" => array:2 [
      0 => array:3 [
        "name" => "PONCET Patrice"
        "bid" => "B00000430"
        "slug" => "poncet-patrice"
      ]
      1 => array:1 [
        "name" => "MELLIOS K."
      ]
    ]
    "ouvrage" => ""
    "keywords" => []
    "updatedAt" => "2020-12-17 21:00:33"
    "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" => "Cet article valorise les obligations zéro-coupons et les options européennes écrites sur ces dernières et sur des contrats à terme, tant forward que futures, ayant ces dernières pour support. Dans le cadre d'un cas particulier du modèle de Heath-Jarrow-Morton où la volatilité des taux forward instantanés est supposée constante, mais pas celle du prix des zéro-coupons, nous obtenons des solutions analytiques à la Black-Scholes."
      "en" => "In this article, we evaluate pure discount bonds and European options written on the latter and on forward and futures contracts. Using a particular case of the Heath-Jarrow-Morton model in which the volatility of instantaneous forward rates is constant, but not that of pure discount bond prices, we obtain Black-Scholes like closed-form solutions."
    ]
    "authors_fields" => array:2 [
      "fr" => "Finance"
      "en" => "Finance"
    ]
    "indexedAt" => "2024-04-25T10:21:56.000Z"
    "docTitle" => "Evaluation des options sur obligations et sur contrats à terme d'obligations"
    "docSurtitle" => "Documents de travail"
    "authorNames" => "<a href="/cv/poncet-patrice">PONCET Patrice</a>, MELLIOS K."
    "docDescription" => "<span class="document-property-authors">PONCET Patrice, MELLIOS K.</span><br><span class="document-property-authors_fields">Finance</span> | <span class="document-property-year">1995</span>"
    "keywordList" => ""
    "docPreview" => "<b>Evaluation des options sur obligations et sur contrats à terme d'obligations</b><br><span>1995-02 | Documents de travail </span>"
    "docType" => "research"
    "publicationLink" => "<a href="#" target="_blank">Evaluation des options sur obligations et sur contrats à terme d'obligations</a>"
  ]
  +lang: "fr"
  +"_type": "_doc"
  +"_score": 8.768543
  +"parent": null
}