{"id":"W2118731301","doi":"10.5555/1161734.1162023","title":"Efficient pricing of barrier options with the variance-gamma model","year":2004,"lang":"en","type":"article","venue":"Winter Simulation Conference","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":4,"is_retracted":false,"has_abstract":true,"ca_institutions":"Université de Montréal","funders":"","keywords":"Importance sampling; Estimator; Sampling (signal processing); Variance (accounting); Monte Carlo method; Computer science; Algorithm; Path (computing); Mathematical optimization; Mathematics; Statistics","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":[0.002886227,0.0005085655,0.00120566,0.0006745643,0.0004089893,0.001459476,0.001494484,0.001295188,0.002430562],"category_scores_gemma":[0.01096087,0.0006063224,0.0007774671,0.0008564334,0.0009473871,0.002269721,0.001605216,0.001702205,0.0003092077],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0009128485,"about_ca_system_score_gemma":0.00122025,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.002353397,"about_ca_topic_score_gemma":0.001942377,"domain_scores_codex":[0.9989076,0.0005237465,0.00003414439,0.00008636912,0.0003443361,0.0001037373],"domain_scores_gemma":[0.9972169,0.001843625,0.0002376971,0.0003183173,0.0002619445,0.0001214288],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"simulation_or_modeling","study_design_gemma":"simulation_or_modeling","study_design_scores_codex":[0.00006234635,0.00003497206,0.0008472892,0.00002657187,0.0000324553,0.0001326635,0.00005382685,0.8478854,0.001318826,0.135602,0.0003950285,0.01360863],"study_design_scores_gemma":[0.000009823507,0.00000749327,0.00005955244,0.000002393986,0.000002590815,0.00001636323,0.000002243203,0.977613,0.0001837591,0.02193547,0.0001627003,0.000004638217],"study_design_candidate":"simulation_or_modeling","study_design_consensus":"simulation_or_modeling","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.03438845,0.0001207543,0.9636347,0.0001361584,0.00001426206,0.00003166841,0.00002423213,0.0001566652,0.001493121],"genre_scores_gemma":[0.6637315,0.0002785527,0.3333292,0.00009183178,0.00003474168,0.000145154,0.0001301413,0.0001341816,0.002124673],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.002886227,"threshold_uncertainty_score":0.01526397,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.03720388498912797,"score_gpt":0.2397389302420148,"score_spread":0.2025350452528868,"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."}}