{"id":"W2891031088","doi":"10.1142/s2424786318500020","title":"Analytical pricing of discrete arithmetic Asian options under generalized CIR process with time change","year":2018,"lang":"en","type":"article","venue":"International Journal of Financial Engineering","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":9,"is_retracted":false,"has_abstract":true,"ca_institutions":"Bank of Canada; University of Ottawa","funders":"","keywords":"Asian option; Jump diffusion; Nonlinear system; Applied mathematics; Mathematics; Jump; Transformation (genetics); Eigenfunction; Discrete time and continuous time; Process (computing); Jump process; Moment (physics); Function (biology); Fourier transform; Lévy process; Valuation of options; Mathematical optimization; Econometrics; Computer science; Mathematical analysis; Statistics; Eigenvalues and eigenvectors","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":"codex-gemma-dda1882f352a","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.0001876724,0.0001182275,0.0003207285,0.0003623698,0.00004013943,0.00003269019,0.0003311175,0.00006220114,0.00004808851],"category_scores_gemma":[0.0001801786,0.0001159263,0.00009426504,0.0003228083,0.00006479362,0.0002510814,0.00003138387,0.0001424456,0.00002310694],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.00008163759,"about_ca_system_score_gemma":0.00006764336,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.00002674488,"about_ca_topic_score_gemma":0.000004083402,"domain_scores_codex":[0.9989593,0.000001665958,0.0006053686,0.0001481642,0.0001215774,0.0001638993],"domain_scores_gemma":[0.9989292,0.00002500113,0.0004644321,0.00009855974,0.0004131503,0.0000696704],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"simulation_or_modeling","study_design_scores_codex":[0.0001131322,0.0001501325,0.001152336,0.00003382864,0.0001602968,0.00001394897,0.0006457627,0.003930337,0.0003218579,0.991218,0.00002667393,0.002233685],"study_design_scores_gemma":[0.007775064,0.002952343,0.3069166,0.001719889,0.0002642043,0.0008911255,0.0001931815,0.3612554,0.003677082,0.2983859,0.01377781,0.002191427],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":null,"genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.117952,0.0002759121,0.8796138,0.0008367079,0.0003954377,0.0001126668,0.00006764095,0.00001422252,0.0007316918],"genre_scores_gemma":[0.9893899,0.00002120158,0.009440563,0.00007307492,0.001001578,0.00001457972,0.000004347979,0.00001901567,0.00003571514],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.8714379,"threshold_uncertainty_score":0.4727338,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.01996775248311446,"score_gpt":0.2456987145531177,"score_spread":0.2257309620700033,"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."}}