{"id":"W1940249686","doi":"10.3968/j.pam.1925252820130502.158","title":"Pricing Foreign Exchange Option Under Fractional Jump-Diffusions","year":2013,"lang":"en","type":"article","venue":"Progress in applied mathematics","topic":"Complex Systems and Time Series Analysis","field":"Economics, Econometrics and Finance","cited_by":0,"is_retracted":false,"has_abstract":true,"ca_institutions":"","funders":"","keywords":"Foreign exchange; Foreign exchange market; Order (exchange); Actuary; Valuation of options; Rational pricing; Jump diffusion; Derivative (finance); Financial market; Economics; Financial economics; Investment theory; Jump; Business; Actuarial science; Capital asset pricing model; Finance; Monetary economics","routes":{"ca_aff":false,"ca_fund":false,"ca_venue":true,"about_ca":false,"invisible_to_affiliation_only":true},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.001462604,0.0005305604,0.0008766656,0.0007459949,0.0004873278,0.001314868,0.0007887712,0.00139198,0.002765962],"category_scores_gemma":[0.004792806,0.000247153,0.0008558469,0.0004509081,0.001191201,0.003618357,0.000873074,0.0009918975,0.0001373662],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0007733116,"about_ca_system_score_gemma":0.0005820756,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.002339418,"about_ca_topic_score_gemma":0.0009032522,"domain_scores_codex":[0.9994837,0.0001495965,0.00002580156,0.00008168819,0.0001830772,0.0000759911],"domain_scores_gemma":[0.9991197,0.0004230663,0.0001162654,0.00005457146,0.0001494979,0.0001369865],"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":[0.0002369685,0.00007457058,0.002539828,0.00009895176,0.00006395237,0.001057727,0.0001795394,0.2328254,0.01394569,0.7338466,0.0009188907,0.01421193],"study_design_scores_gemma":[0.00001933512,0.00002961144,0.0003254136,0.000004677994,0.00001105526,0.0001189061,0.00001724997,0.942643,0.0005706689,0.05592147,0.0003221151,0.00001648779],"study_design_candidate":"simulation_or_modeling","study_design_consensus":null,"genre_codex":"methods","genre_gemma":"methods","genre_scores_codex":[0.3120301,0.000973393,0.6786115,0.001145043,0.0002097163,0.00003725903,0.00006299684,0.000173562,0.00675649],"genre_scores_gemma":[0.9815498,0.0004498507,0.01237758,0.00007702068,0.0001132289,0.00002331064,0.00004577839,0.00002382687,0.005339555],"genre_candidate":"methods","genre_consensus":"methods","teacher_disagreement_score":0.002765962,"threshold_uncertainty_score":0.009253025,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.03763886966544187,"score_gpt":0.2364151793106095,"score_spread":0.1987763096451676,"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."}}