{"id":"W2071091278","doi":"10.1016/j.jbankfin.2005.04.025","title":"Pricing methods and hedging strategies for volatility derivatives","year":2005,"lang":"en","type":"article","venue":"Journal of Banking & Finance","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":83,"is_retracted":false,"has_abstract":false,"ca_institutions":"University of Waterloo","funders":"","keywords":"Volatility (finance); Volatility smile; Volatility swap; Local volatility; Stochastic volatility; Economics; Variance swap; Volatility risk premium; Valuation (finance); Econometrics; Jump diffusion; Implied volatility; Volatility risk; Forward volatility; Geometric Brownian motion; Financial economics; Jump; Diffusion process; Finance; Economy","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":[0.003820758,0.0008040262,0.00085597,0.000958384,0.0004175191,0.002340431,0.001337046,0.001639767,0.003195931],"category_scores_gemma":[0.01249935,0.000670278,0.0009305847,0.0008812631,0.0007496157,0.003308107,0.001165634,0.00222977,0.0003896187],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0005365766,"about_ca_system_score_gemma":0.0006205278,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.0009223739,"about_ca_topic_score_gemma":0.0008584101,"domain_scores_codex":[0.9992477,0.0004524114,0.00004911004,0.00007108603,0.0001370993,0.00004263305],"domain_scores_gemma":[0.9968687,0.002400066,0.0001260369,0.0001757804,0.0003353543,0.00009410102],"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":[0.0001402559,0.0001732463,0.00166035,0.0002098912,0.0001350698,0.0001455256,0.0003238574,0.2515656,0.004063394,0.5754675,0.001922171,0.1641933],"study_design_scores_gemma":[0.00002391747,0.00003007803,0.0002819176,0.00002006061,0.00002058302,0.00004429625,0.00002053588,0.882736,0.0004519967,0.1153462,0.001009816,0.0000145609],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":"theoretical_or_conceptual","genre_codex":"methods","genre_gemma":"methods","genre_scores_codex":[0.02210594,0.001767273,0.972847,0.0004558665,0.0001342918,0.00003734797,0.00002468065,0.00004537445,0.002582134],"genre_scores_gemma":[0.6082428,0.004460355,0.3687326,0.0002584892,0.0006033329,0.0001786327,0.0001661411,0.0001641699,0.01719343],"genre_candidate":"methods","genre_consensus":"methods","teacher_disagreement_score":0.003820758,"threshold_uncertainty_score":0.02020639,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.03998865614725085,"score_gpt":0.3127928883158306,"score_spread":0.2728042321685797,"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."}}