{"id":"W2015433547","doi":"10.1137/090750421","title":"A Fourier Transform Method for Spread Option Pricing","year":2010,"lang":"en","type":"article","venue":"SIAM Journal on Financial Mathematics","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":189,"is_retracted":false,"has_abstract":true,"ca_institutions":"McMaster University","funders":"","keywords":"Valuation of options; Computer science; Fourier transform; Range (aeronautics); Computation; Exotic option; Stochastic game; Mathematical optimization; Derivative (finance); Fast Fourier transform; Variety (cybernetics); Econometrics; Mathematical economics; Mathematics; Algorithm; Finance; 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":[0.001019211,0.0001984559,0.0004501032,0.0002100915,0.0003819198,0.0001115831,0.0002958949,0.0001955041,0.00005483437],"category_scores_gemma":[0.0008998142,0.0001985928,0.0002478369,0.0002583617,0.00003588018,0.0001743718,0.00001704055,0.0005149264,0.0001268921],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.00005717367,"about_ca_system_score_gemma":0.00007903393,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.000006717453,"about_ca_topic_score_gemma":0.00001334127,"domain_scores_codex":[0.9984592,0.000002279909,0.0008385993,0.0002621079,0.00007801593,0.0003598397],"domain_scores_gemma":[0.9987165,0.0001925832,0.0005823332,0.000259865,0.0001199884,0.0001287814],"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":[0.00002323939,0.000185617,0.00001041992,0.00006651252,0.00001212228,0.000001398899,0.0004497196,0.00002382056,0.0002142521,0.9773263,0.0002418806,0.02144476],"study_design_scores_gemma":[0.000600177,0.0002019424,0.0001985261,0.00004689933,0.00001677809,0.00006946389,0.00002986048,0.01310289,0.0003165548,0.939469,0.04570193,0.0002459163],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":"theoretical_or_conceptual","genre_codex":"methods","genre_gemma":"methods","genre_scores_codex":[0.005308862,0.00009866055,0.9867985,0.001205438,0.0008589375,0.0005124087,0.00009749274,0.00003420488,0.005085504],"genre_scores_gemma":[0.1012652,0.0000521432,0.8960617,0.0004568095,0.001446978,0.0002080539,0.000007659212,0.00006673925,0.0004347953],"genre_candidate":"methods","genre_consensus":"methods","teacher_disagreement_score":0.0959563,"threshold_uncertainty_score":0.8098379,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.02718321452191447,"score_gpt":0.2734437347362659,"score_spread":0.2462605202143514,"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."}}