{"id":"W188796024","doi":"10.1023/a:1009624428252","title":"Option Bounds and the Pricing of the Volatility Smile","year":2000,"lang":"en","type":"article","venue":"Review of Derivatives Research","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":16,"is_retracted":false,"has_abstract":false,"ca_institutions":"University of Ottawa; TD Bank Group","funders":"","keywords":"Valuation of options; Econometrics; Mathematics; Economics","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":[0.001480818,0.0000498723,0.000271448,0.00003452251,0.0001597998,0.00001131229,0.000260766,0.00002344768,0.0001155953],"category_scores_gemma":[0.0007436213,0.00003074363,0.00006502938,0.0006412275,0.0005619594,0.00005871501,0.00007830894,0.0001364446,0.00001137095],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.00001709692,"about_ca_system_score_gemma":0.00002973529,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.000134981,"about_ca_topic_score_gemma":0.000002745071,"domain_scores_codex":[0.9992022,0.00003708699,0.0004208846,0.0001490914,0.0000733069,0.0001174331],"domain_scores_gemma":[0.9991249,0.0002636971,0.0001712413,0.0003150851,0.0001078624,0.00001717263],"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":[0.00001244806,0.00002776355,0.001309419,0.001297652,0.00001023767,1.410571e-8,0.0002932365,6.51777e-7,0.00001692753,0.9749004,0.00004707749,0.02208417],"study_design_scores_gemma":[0.0004281501,0.00004861429,0.09443108,0.001620696,0.000007133957,0.000001523938,0.00008950137,0.001649775,0.0001392782,0.8676051,0.03389265,0.00008642065],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":"theoretical_or_conceptual","genre_codex":"review","genre_gemma":"empirical","genre_scores_codex":[0.2733984,0.6094445,0.05359312,0.01198758,0.00006334284,0.003217778,0.000148447,0.00001387875,0.04813294],"genre_scores_gemma":[0.9412121,0.05807362,0.0003572151,0.00008317044,0.0000165475,0.00008098091,0.000001389684,0.000004885078,0.0001701528],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.6678137,"threshold_uncertainty_score":0.2070563,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.06569992241158569,"score_gpt":0.3315992354821463,"score_spread":0.2658993130705606,"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."}}