{"id":"W2521209685","doi":"10.1093/imamat/hxw035","title":"Pricing options in a Markov regime switching model with a random acceleration for the volatility","year":2016,"lang":"en","type":"article","venue":"IMA Journal of Applied Mathematics","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":5,"is_retracted":false,"has_abstract":true,"ca_institutions":"University of Calgary","funders":"Australian Research Council; Natural Sciences and Engineering Research Council of Canada","keywords":"Valuation of options; Implied volatility; Local volatility; Stochastic volatility; Markov chain; Monte Carlo method; Markov chain Monte Carlo; Call option; Volatility smile; Volatility (finance); Mathematics; Econometrics; Applied mathematics; Mathematical optimization; Economics; Computer science","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":"codex-gemma-dda1882f352a","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.0008622547,0.00009640342,0.0003033216,0.0001073806,0.0001149334,0.00004551321,0.0001996082,0.00004375572,0.000006764419],"category_scores_gemma":[0.0002895907,0.00005662852,0.00006718147,0.0001621047,0.00002891234,0.0001534169,0.0000190363,0.0001001909,0.00000371953],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.00007250578,"about_ca_system_score_gemma":0.00005255945,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.000003018514,"about_ca_topic_score_gemma":0.000008813176,"domain_scores_codex":[0.9989776,9.236509e-7,0.0007033508,0.0001219667,0.00004961095,0.0001465516],"domain_scores_gemma":[0.9984119,0.000513505,0.0007574731,0.0001847082,0.0001003166,0.00003213251],"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":[0.0002179179,0.0001288189,0.00003480992,0.00005958979,0.00003552823,2.539629e-7,0.001083184,0.001284052,0.0004791952,0.9896238,0.00005023734,0.007002614],"study_design_scores_gemma":[0.001869492,0.00003598724,0.0001767938,0.0000708743,0.00002076199,0.000007012489,0.0001308366,0.1930161,0.0000900923,0.8041778,0.0003049377,0.00009934383],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":"theoretical_or_conceptual","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.01382799,0.0001579541,0.9837295,0.0006979691,0.00003298848,0.0004593969,0.00001412003,0.000006248385,0.001073868],"genre_scores_gemma":[0.7937569,0.00008887557,0.2058548,0.00004993405,0.00009183398,0.00011649,3.855967e-7,0.00001646012,0.00002425786],"genre_candidate":"methods","genre_consensus":null,"teacher_disagreement_score":0.7799289,"threshold_uncertainty_score":0.2309244,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.03249010994873467,"score_gpt":0.237700328555782,"score_spread":0.2052102186070473,"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."}}