{"id":"W141270673","doi":"","title":"Option pricing with regime switching Lévy processes using Fourier space time stepping","year":2007,"lang":"en","type":"article","venue":"","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":27,"is_retracted":false,"has_abstract":true,"ca_institutions":"University of Toronto","funders":"","keywords":"Lévy process; Jump diffusion; Partial differential equation; Valuation (finance); Jump; Valuation of options; Fourier transform; Mathematics; Applied mathematics; Space (punctuation); Class (philosophy); Path integral formulation; Mathematical optimization; Computer science; Mathematical economics; Economics; Econometrics; Mathematical analysis; Physics; Finance","routes":{"ca_aff":true,"ca_fund":false,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.001382701,0.0004078292,0.0007140451,0.0005792712,0.0003065063,0.0009956761,0.0008467626,0.001116509,0.002373971],"category_scores_gemma":[0.00361302,0.0002874292,0.00105849,0.0007976795,0.0009339756,0.001771043,0.0009585036,0.001418425,0.0003204562],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0004980695,"about_ca_system_score_gemma":0.0008216716,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.001576063,"about_ca_topic_score_gemma":0.0009904135,"domain_scores_codex":[0.9996037,0.0002007555,0.00001878644,0.0000292281,0.0001200505,0.00002748524],"domain_scores_gemma":[0.9990663,0.0006188541,0.00008162169,0.00008766263,0.00008440312,0.00006116827],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"theoretical_or_conceptual","study_design_scores_codex":[0.00007760287,0.000122458,0.0009021359,0.00006792037,0.00007647453,0.0003427518,0.0001077851,0.3507493,0.005506742,0.5967534,0.001003032,0.04429047],"study_design_scores_gemma":[0.000008015655,0.00001083431,0.00005905441,0.000003062033,0.000003542214,0.00003072677,0.000003911737,0.9576944,0.0002230621,0.04160248,0.0003544829,0.000006450496],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":"theoretical_or_conceptual","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.02677719,0.0002936733,0.9705806,0.0001850178,0.00005294991,0.0000208909,0.00001525292,0.00007612625,0.001998276],"genre_scores_gemma":[0.6724163,0.001255745,0.3168015,0.000129789,0.0001497951,0.0001486882,0.00009021191,0.00009968145,0.008908297],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.002373971,"threshold_uncertainty_score":0.007941723,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.0251352584027479,"score_gpt":0.226240889209798,"score_spread":0.2011056308070501,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}