{"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":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.001333491,0.0008657104,0.0008805135,0.000785606,0.0003464207,0.001453277,0.001260985,0.001487694,0.002627036],"category_scores_gemma":[0.00307927,0.0004056455,0.001345307,0.0008705889,0.001408511,0.002505743,0.0008948867,0.001544209,0.0002548679],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0008356722,"about_ca_system_score_gemma":0.0008023603,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.002593196,"about_ca_topic_score_gemma":0.001272423,"domain_scores_codex":[0.9995919,0.0001632848,0.00001928479,0.0000599199,0.0001045842,0.00006096993],"domain_scores_gemma":[0.9991559,0.0003088636,0.0001918385,0.00008148512,0.0001616937,0.0001000966],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"simulation_or_modeling","study_design_gemma":"simulation_or_modeling","study_design_scores_codex":[0.00003840491,0.00003787309,0.0008486864,0.00007356335,0.00004565788,0.0006267661,0.0001346264,0.5375342,0.00582334,0.4489661,0.000743693,0.005127047],"study_design_scores_gemma":[0.000004932606,0.00001273882,0.000124435,0.000003336547,0.000006877436,0.00005942512,0.000008089084,0.9754215,0.0001505136,0.02404176,0.0001562846,0.00001002554],"study_design_candidate":"simulation_or_modeling","study_design_consensus":"simulation_or_modeling","genre_codex":"methods","genre_gemma":"methods","genre_scores_codex":[0.1495531,0.001072823,0.8342099,0.0008786606,0.0001795488,0.00005077749,0.00009161425,0.0001620713,0.01380144],"genre_scores_gemma":[0.9668372,0.0008107905,0.02298382,0.0001144173,0.0001481994,0.00006150597,0.00008217044,0.00005747921,0.008904435],"genre_candidate":"methods","genre_consensus":"methods","teacher_disagreement_score":0.002627036,"threshold_uncertainty_score":0.008788347,"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."}}