{"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":"codex-gemma-dda1882f352a","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.0004736265,0.0001633721,0.0002718865,0.0002114046,0.0002742424,0.00009219517,0.0001567671,0.00008301399,0.00005401371],"category_scores_gemma":[0.0001303638,0.0001634783,0.00003560708,0.0007600307,0.00002921081,0.0003659081,0.0000436329,0.0001294136,0.0001911015],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0001145682,"about_ca_system_score_gemma":0.00006050594,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.0002648125,"about_ca_topic_score_gemma":0.00004269633,"domain_scores_codex":[0.9987245,0.000001149953,0.0004321976,0.0004133006,0.00005538459,0.0003734592],"domain_scores_gemma":[0.9991477,0.00007328789,0.0003560434,0.000239042,0.0001005839,0.00008332217],"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":[0.00004358201,0.00007940108,0.002314416,0.0001226057,0.00003644513,0.000003284926,0.0006394509,0.0005811365,0.0008430179,0.9927312,0.00002576905,0.002579665],"study_design_scores_gemma":[0.00344376,0.0006003194,0.01906006,0.0008981529,0.0001308552,0.0002711185,0.001790585,0.1726914,0.005982952,0.7424651,0.04898607,0.003679581],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":"theoretical_or_conceptual","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.0596967,0.0005106702,0.9184712,0.000230326,0.00005074712,0.0002583453,0.00000534202,0.00009353763,0.02068315],"genre_scores_gemma":[0.8990585,0.00001666695,0.0991421,0.0001321609,0.0002429007,0.00001726047,0.000005431181,0.00004246707,0.00134254],"genre_candidate":"methods","genre_consensus":null,"teacher_disagreement_score":0.8393618,"threshold_uncertainty_score":0.6666453,"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."}}