{"id":"W2120694358","doi":"10.1016/s0165-1889(03)00042-3","title":"Option valuation with co-integrated asset prices","year":2003,"lang":"en","type":"article","venue":"Journal of Economic Dynamics and Control","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":82,"is_retracted":false,"has_abstract":false,"ca_institutions":"University of Toronto","funders":"Luonnontieteiden ja Tekniikan Tutkimuksen Toimikunta; Social Sciences and Humanities Research Council of Canada; Natural Sciences and Engineering Research Council of Canada; National Science Foundation","keywords":"Economics; Valuation of options; Econometrics; Asset (computer security); Valuation (finance); Stochastic volatility; Financial economics; Mathematical economics; Computer science; Volatility (finance); Finance","routes":{"ca_aff":true,"ca_fund":true,"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":[0.006145267,0.001335281,0.002221415,0.001263571,0.0006163947,0.005686306,0.001905496,0.003522699,0.003822426],"category_scores_gemma":[0.01973204,0.001112971,0.001500549,0.002020354,0.002574129,0.01078177,0.002874837,0.002736976,0.0002461972],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.001134868,"about_ca_system_score_gemma":0.0009275374,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.001440104,"about_ca_topic_score_gemma":0.0008975386,"domain_scores_codex":[0.9981591,0.0009562593,0.0001154081,0.0002361125,0.0003861162,0.0001469596],"domain_scores_gemma":[0.9900321,0.007337253,0.000748095,0.0005661336,0.0006684465,0.0006479408],"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":[0.0002200764,0.0001111704,0.001489187,0.00006001071,0.0001450271,0.0005869525,0.0001171319,0.2718179,0.001111938,0.7138503,0.0004906962,0.009999665],"study_design_scores_gemma":[0.00002434933,0.0000190242,0.0001609262,0.000005801609,0.00001874984,0.0000633275,0.000009702525,0.807357,0.0001278056,0.1920602,0.0001410573,0.00001223642],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":"theoretical_or_conceptual","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.1676493,0.0009699992,0.821614,0.001042027,0.000217584,0.00005034202,0.00008098516,0.0001077528,0.008267875],"genre_scores_gemma":[0.9661895,0.0003572,0.02868886,0.00006213297,0.0002267395,0.00003619598,0.0000698881,0.00002873818,0.004340796],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.006145267,"threshold_uncertainty_score":0.03249967,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.01231672008186125,"score_gpt":0.2198421881402387,"score_spread":0.2075254680583774,"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."}}