{"id":"W2258382481","doi":"10.2139/ssrn.2690888","title":"Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels","year":2014,"lang":"en","type":"article","venue":"SSRN Electronic Journal","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":9,"is_retracted":false,"has_abstract":false,"ca_institutions":"University of Toronto","funders":"","keywords":"Volatility (finance); Valuation (finance); Economics; Valuation of options; Nonlinear system; Financial economics; Econometrics; Mathematics; Finance; Physics","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":[0.004722969,0.0013746,0.001647823,0.001171512,0.0004779887,0.005041792,0.001681099,0.002585013,0.003093584],"category_scores_gemma":[0.02399534,0.0008980394,0.001405981,0.001256382,0.002971821,0.009058341,0.002302474,0.002933144,0.0003471544],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.001024856,"about_ca_system_score_gemma":0.0007626437,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.00157596,"about_ca_topic_score_gemma":0.0008772288,"domain_scores_codex":[0.9986304,0.0006241064,0.00008216804,0.0002066224,0.0002540062,0.0002026865],"domain_scores_gemma":[0.9881929,0.007470653,0.001478307,0.001168046,0.000839874,0.0008502809],"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":[0.0003857407,0.0001985132,0.00570776,0.00007925128,0.0001318087,0.0008727926,0.0001854377,0.1781005,0.003049782,0.7981972,0.0007504695,0.01234075],"study_design_scores_gemma":[0.00003002862,0.00002821046,0.00108343,0.000007759313,0.00002217033,0.0001466383,0.0000250569,0.7084526,0.0002604121,0.2898054,0.0001085669,0.000029775],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":"theoretical_or_conceptual","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.4177504,0.0006601878,0.5734043,0.001004806,0.0001083546,0.00004607822,0.0001509237,0.0001265209,0.006748463],"genre_scores_gemma":[0.9842726,0.0002344404,0.00981929,0.00004829464,0.0001251235,0.00001880019,0.00008733012,0.00003340678,0.005360606],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.005041792,"threshold_uncertainty_score":0.02497774,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.01852463424271295,"score_gpt":0.2154735055905112,"score_spread":0.1969488713477983,"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."}}