{"id":"W2165814436","doi":"10.1016/j.econmod.2012.12.003","title":"Upper and lower bounds for convex value functions of derivative contracts","year":2013,"lang":"en","type":"article","venue":"Economic Modelling","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":7,"is_retracted":false,"has_abstract":false,"ca_institutions":"HEC Montréal; Group for Research in Decision Analysis","funders":"Natural Sciences and Engineering Research Council of Canada; European Regional Development Fund; Consejería de Educación, Junta de Castilla y León","keywords":"Derivative (finance); Bellman equation; Upper and lower bounds; Value (mathematics); Dynamic programming; Regular polygon; Mathematical optimization; Convex optimization; Affine transformation; Mathematics; Piecewise; Piecewise linear function; Mathematical economics; Function (biology); Convex function; Computer science; Economics; Finance; Pure mathematics","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":[0.01868856,0.004418357,0.003995911,0.005427124,0.001804632,0.01134817,0.004405273,0.004453603,0.009523395],"category_scores_gemma":[0.09567232,0.002495765,0.003170982,0.003912647,0.008119311,0.01303368,0.006371336,0.01305594,0.001289556],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.006376992,"about_ca_system_score_gemma":0.003072367,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.002660302,"about_ca_topic_score_gemma":0.001810526,"domain_scores_codex":[0.9899725,0.004895655,0.0004375354,0.001095109,0.002246119,0.001353176],"domain_scores_gemma":[0.8814873,0.1027755,0.00429805,0.003440421,0.004837808,0.003160902],"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":[0.0001326152,0.0001021775,0.0005154274,0.0002724042,0.00007080369,0.0001090177,0.0004456563,0.1147865,0.0009387361,0.8626245,0.002381733,0.01762038],"study_design_scores_gemma":[0.00001395688,0.00003054651,0.0003018114,0.0001539266,0.00003418209,0.00006074835,0.00007349345,0.3578816,0.0006615407,0.6392918,0.001459045,0.00003723291],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":"theoretical_or_conceptual","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.02878163,0.004999306,0.9404914,0.002279828,0.0001612048,0.000098363,0.0002909121,0.00020312,0.02269422],"genre_scores_gemma":[0.7584733,0.01211703,0.1989944,0.001149804,0.00125598,0.0007526614,0.001290459,0.001080393,0.024886],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.01868856,"threshold_uncertainty_score":0.09883571,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.02836215109486157,"score_gpt":0.2103647520865629,"score_spread":0.1820026009917014,"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."}}