{"id":"W2034548366","doi":"10.1016/j.cam.2005.12.008","title":"Hedging with a correlated asset: Solution of a nonlinear pricing PDE","year":2006,"lang":"en","type":"article","venue":"Journal of Computational and Applied Mathematics","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":25,"is_retracted":false,"has_abstract":false,"ca_institutions":"University of Waterloo","funders":"","keywords":"Mathematics; Discretization; Residual; Nonlinear system; Monotone polygon; Monotonic function; Partial differential equation; Applied mathematics; Valuation of options; Mathematical optimization; Grid; Mathematical economics; Econometrics; Mathematical analysis","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":[0.001782394,0.0008876396,0.001535488,0.0006029863,0.0005827353,0.002587225,0.001534598,0.004881599,0.002255659],"category_scores_gemma":[0.00949171,0.0008871204,0.001244694,0.0007159372,0.002580764,0.00255206,0.002331381,0.0020837,0.0002049792],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0008533624,"about_ca_system_score_gemma":0.001790948,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.004770531,"about_ca_topic_score_gemma":0.002573332,"domain_scores_codex":[0.9995661,0.0001513002,0.00002501917,0.0001169568,0.00009097402,0.00004968089],"domain_scores_gemma":[0.9975384,0.001283216,0.0003982451,0.0001554096,0.0002675956,0.0003570861],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"simulation_or_modeling","study_design_gemma":"theoretical_or_conceptual","study_design_scores_codex":[0.0001411471,0.0001597891,0.003124775,0.0001783954,0.0001585299,0.001070894,0.0002219315,0.7002727,0.004690682,0.2806861,0.002237373,0.007057616],"study_design_scores_gemma":[0.00001730186,0.00001337972,0.0002444594,0.000005006952,0.00001148026,0.0000507298,0.00001283868,0.985216,0.0001273122,0.01411094,0.0001793001,0.0000113745],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":null,"genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.2713461,0.00123778,0.7072378,0.00439389,0.0005166039,0.0001033312,0.0001721664,0.0001363853,0.01485597],"genre_scores_gemma":[0.957272,0.0006722921,0.02684374,0.0004485995,0.0002832548,0.00006514158,0.0001019366,0.00005832108,0.01425477],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.004881599,"threshold_uncertainty_score":0.009485483,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.01292142916513179,"score_gpt":0.2024566927094659,"score_spread":0.1895352635443341,"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."}}