{"id":"W2086228635","doi":"10.1016/j.spl.2004.11.018","title":"Saddlepoint approximations to option price in a general equilibrium model","year":2005,"lang":"en","type":"article","venue":"Statistics & Probability Letters","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":16,"is_retracted":false,"has_abstract":false,"ca_institutions":"York University","funders":"Guangzhou Municipal Science and Technology Bureau","keywords":"Mathematics; Stochastic volatility; Valuation of options; Econometrics; Approximations of π; Valuation (finance); Mathematical economics; Applied mathematics; Volatility (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":[0.0003669876,0.0001581339,0.0002756146,0.0001764893,0.00007247298,0.00006247764,0.0002253,0.00006055808,0.00003215229],"category_scores_gemma":[0.0002900228,0.000201007,0.00004583556,0.0004010593,0.00006318605,0.0001845883,0.0000793822,0.0001530095,0.0003254855],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0003571384,"about_ca_system_score_gemma":0.00004501543,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.0001534378,"about_ca_topic_score_gemma":0.0001287569,"domain_scores_codex":[0.9983168,0.000005668071,0.0007294751,0.000520023,0.00006027493,0.0003677885],"domain_scores_gemma":[0.9992409,0.00005026615,0.0001716234,0.0003741792,0.00005301818,0.0001099813],"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":[0.00001137724,0.0001366594,0.0004098752,0.00003733148,0.000004759397,3.92929e-7,0.0005321962,0.01946467,0.0003489246,0.9771807,0.0006014545,0.001271643],"study_design_scores_gemma":[0.0002034014,0.00001936458,0.003715132,0.000006554963,0.000002805527,0.000001023751,0.000001854795,0.2416516,0.00002027809,0.7528343,0.001342637,0.000201033],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":"theoretical_or_conceptual","genre_codex":"methods","genre_gemma":"methods","genre_scores_codex":[0.07685763,0.00004334722,0.9130507,0.007607501,0.00006243156,0.0007233179,0.0007291792,0.00004385968,0.0008820446],"genre_scores_gemma":[0.188672,0.000003283619,0.8087159,0.001938834,0.0001061118,0.0004146956,0.00006350879,0.0000196302,0.00006601988],"genre_candidate":"methods","genre_consensus":"methods","teacher_disagreement_score":0.2243464,"threshold_uncertainty_score":0.8196827,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.03099387037791512,"score_gpt":0.2401099683231253,"score_spread":0.2091160979452101,"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."}}