{"id":"W2063309447","doi":"10.2139/ssrn.2459412","title":"Novel No-Arbitrage Conditions for Options Written on Defaultable Assets","year":2014,"lang":"en","type":"article","venue":"SSRN Electronic Journal","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":1,"is_retracted":false,"has_abstract":false,"ca_institutions":"University of Calgary","funders":"","keywords":"Arbitrage; Business; Statistical arbitrage; Actuarial science; Financial economics; Economics; Econometrics; Risk arbitrage; Arbitrage pricing theory; Capital asset pricing model","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":[0.006495894,0.001723726,0.002055109,0.002169614,0.001042704,0.004320891,0.002461052,0.003897219,0.01188903],"category_scores_gemma":[0.04055535,0.0009703679,0.001874834,0.001024922,0.004028338,0.0105439,0.003610815,0.005653225,0.001149581],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.001139353,"about_ca_system_score_gemma":0.001812667,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.0005793767,"about_ca_topic_score_gemma":0.0007458232,"domain_scores_codex":[0.997295,0.001115104,0.0002520271,0.000418678,0.0005331642,0.0003860285],"domain_scores_gemma":[0.972572,0.01860027,0.002784603,0.001338377,0.002661264,0.002043435],"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":[0.0001928415,0.0001018549,0.0007608309,0.0001505242,0.00004125873,0.0009297515,0.0002230141,0.009215713,0.003631921,0.9777038,0.002553126,0.004495301],"study_design_scores_gemma":[0.00008999131,0.00005287689,0.0007643115,0.00004546997,0.00002821763,0.0003997396,0.00009327591,0.1835274,0.0009944321,0.8129869,0.0009648359,0.0000523852],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":"theoretical_or_conceptual","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.260318,0.00376406,0.6589137,0.008074078,0.001557336,0.0002621691,0.0009436848,0.0004818965,0.0656851],"genre_scores_gemma":[0.9535023,0.001357476,0.03107455,0.0006952231,0.001440475,0.0001835562,0.0007034761,0.0002586865,0.01078421],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.01188903,"threshold_uncertainty_score":0.03977281,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.01609982988746922,"score_gpt":0.2372461584447269,"score_spread":0.2211463285572576,"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."}}