{"id":"W1543579282","doi":"10.1007/3-540-44842-x_17","title":"Two Factor Option Pricing with Uncertain Volatility","year":2003,"lang":"en","type":"book-chapter","venue":"Lecture notes in computer science","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":5,"is_retracted":false,"has_abstract":false,"ca_institutions":"University of Waterloo","funders":"","keywords":"Stochastic volatility; Computer science; Volatility (finance); Valuation of options; Mathematical optimization; Partial differential equation; Nonlinear system; Applied mathematics; Econometrics; Mathematics","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":[0.001042996,0.001030211,0.0009413522,0.0004241402,0.0002728137,0.00200334,0.0008584678,0.002040182,0.006707249],"category_scores_gemma":[0.00480688,0.0004412674,0.001001504,0.0006549447,0.0007584883,0.003449289,0.0008810267,0.001535938,0.0005204379],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0004059738,"about_ca_system_score_gemma":0.0002352448,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.0003916927,"about_ca_topic_score_gemma":0.0002292294,"domain_scores_codex":[0.999643,0.0001092651,0.00002126703,0.0000587963,0.0001239929,0.00004378575],"domain_scores_gemma":[0.9988077,0.0007133728,0.0001109819,0.000152522,0.0001093687,0.0001060339],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"simulation_or_modeling","study_design_scores_codex":[0.0003228175,0.00008972237,0.0007781712,0.00009147131,0.0000839983,0.0009919611,0.00009930111,0.205399,0.005243541,0.7383305,0.00265768,0.04591191],"study_design_scores_gemma":[0.00004132622,0.00004296514,0.0002613403,0.00000625078,0.00001623461,0.0002392914,0.000008379621,0.6833177,0.0005256451,0.3142266,0.001287078,0.00002732088],"study_design_candidate":"simulation_or_modeling","study_design_consensus":null,"genre_codex":"methods","genre_gemma":"methods","genre_scores_codex":[0.09779544,0.001106136,0.877273,0.001054679,0.0004003415,0.00003595438,0.0001009101,0.0003111371,0.02192241],"genre_scores_gemma":[0.9256579,0.0007493189,0.04505867,0.00008660914,0.0003603442,0.00003184195,0.0001083964,0.00007410553,0.02787278],"genre_candidate":"methods","genre_consensus":"methods","teacher_disagreement_score":0.006707249,"threshold_uncertainty_score":0.02243799,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.02889374140845208,"score_gpt":0.2356514058851077,"score_spread":0.2067576644766557,"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."}}