{"id":"W1973219638","doi":"10.1080/1350486x.2012.678735","title":"Exotic Geometric Average Options Pricing under Stochastic Volatility","year":2012,"lang":"en","type":"article","venue":"Applied Mathematical Finance","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":7,"is_retracted":false,"has_abstract":true,"ca_institutions":"York University","funders":"","keywords":"Valuation of options; Stochastic volatility; Implied volatility; SABR volatility model; Financial economics; Volatility smile; Volatility (finance); Econometrics; Economics; Actuarial science; Computer science","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":[0.001168559,0.0005942814,0.0006921745,0.0008257027,0.0003537293,0.001535271,0.0008729688,0.0009729758,0.001712898],"category_scores_gemma":[0.003741816,0.0002780601,0.0009580818,0.0007079772,0.001382016,0.002633422,0.0009998427,0.001186243,0.0001864615],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0005577807,"about_ca_system_score_gemma":0.0004488199,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.0004922021,"about_ca_topic_score_gemma":0.0003951668,"domain_scores_codex":[0.9994672,0.0001960455,0.00002745618,0.00005980259,0.0001991151,0.00005042251],"domain_scores_gemma":[0.9990461,0.000441959,0.0001556493,0.0001017917,0.000166935,0.00008747088],"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":[0.00002096775,0.00001245017,0.0004489239,0.00003034445,0.00001885478,0.000249464,0.00005130307,0.1262047,0.002054807,0.8629012,0.000341043,0.00766604],"study_design_scores_gemma":[0.0000056708,0.0000142703,0.0002040774,0.000005376291,0.000005616665,0.0001417742,0.000008271985,0.7452823,0.0003108599,0.2533726,0.0006378668,0.00001131209],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":"theoretical_or_conceptual","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.1195146,0.0009541438,0.8693323,0.0003791487,0.0001323895,0.00001992809,0.00006802181,0.0002240788,0.009375505],"genre_scores_gemma":[0.9460608,0.0006297373,0.0491318,0.00009887983,0.0001691506,0.00002531619,0.00008468714,0.00007470991,0.003724849],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.001712898,"threshold_uncertainty_score":0.006180048,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.04589439033210992,"score_gpt":0.2358613541844433,"score_spread":0.1899669638523334,"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."}}