Essec\Faculty\Model\Contribution {#2233
  #_index: "academ_contributions"
  #_id: "2836"
  #_source: array:26 [
    "id" => "2836"
    "slug" => "valuation-of-options-and-bond-spreads-involving-two-currencies"
    "yearMonth" => "2001-12"
    "year" => "2001"
    "title" => "Valuation of Options and Bond Spreads Involving Two Currencies"
    "description" => "MELLIOS, C. et PONCET, P. (2001). Valuation of Options and Bond Spreads Involving Two Currencies. <i>Finance</i>, pp. 75-100."
    "authors" => array:2 [
      0 => array:3 [
        "name" => "PONCET Patrice"
        "bid" => "B00000430"
        "slug" => "poncet-patrice"
      ]
      1 => array:1 [
        "name" => "MELLIOS C."
      ]
    ]
    "ouvrage" => ""
    "keywords" => []
    "updatedAt" => "2020-12-17 17:55:06"
    "publicationUrl" => null
    "publicationInfo" => array:3 [
      "pages" => "75-100"
      "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" => "Nous évaluons des options européennes sur spread de prix, sur spread de taux et sur spread de prix forward et de prix futures quand les deux obligations concernées sont libellées dans deux monnaies différentes. Dans une économie internationale à la Amin et Jarrow (1991), les taux d'intérêt domestiques et étrangers sont régis par les processus stochastiques postulés par Head, Jarrow et Mortion (1992) pour lesquels la volatilité des taux forward instantanés est déterministe mais arbitraire."
      "en" => "European options on bond price spreads, on bon yield spreads and on bond futures and forward price spreads are evaluated when the two underlying bonds involved in the spread are denominated in two different currencies. In an international economy a la Amin and Jarrow (1991), foreign and domestic interest rates obey the stochastic processes postulated by Heath, Jarrow and Mortion (1992) in which the volatility of forward rates is deterministic but otherwise arbitrary."
    ]
    "authors_fields" => array:2 [
      "fr" => "Finance"
      "en" => "Finance"
    ]
    "indexedAt" => "2024-11-15T08:21:54.000Z"
    "docTitle" => "Valuation of Options and Bond Spreads Involving Two Currencies"
    "docSurtitle" => "Articles"
    "authorNames" => "<a href="/cv/poncet-patrice">PONCET Patrice</a>, MELLIOS C."
    "docDescription" => "<span class="document-property-authors">PONCET Patrice, MELLIOS C.</span><br><span class="document-property-authors_fields">Finance</span> | <span class="document-property-year">2001</span>"
    "keywordList" => ""
    "docPreview" => "<b>Valuation of Options and Bond Spreads Involving Two Currencies</b><br><span>2001-12 | Articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="#" target="_blank">Valuation of Options and Bond Spreads Involving Two Currencies</a>"
  ]
  +lang: "fr"
  +"_type": "_doc"
  +"_score": 9.301886
  +"parent": null
}