{"id":"W2911775485","doi":"10.1017/s0269964818000530","title":"A CLOSED-FORM GARCH VALUATION MODEL FOR POWER EXCHANGE OPTIONS WITH COUNTERPARTY RISK","year":2019,"lang":"en","type":"article","venue":"Probability in the Engineering and Informational Sciences","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":6,"is_retracted":false,"has_abstract":true,"ca_institutions":"","funders":"National Natural Science Foundation of China; University of International Business and Economics; University of Winnipeg","keywords":"Counterparty; Credit risk; Valuation (finance); Credit valuation adjustment; Econometrics; Actuarial science; Mathematics; Economics; Finance","routes":{"ca_aff":false,"ca_fund":true,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":true},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.001738293,0.0006181458,0.001092328,0.0006353408,0.0004626432,0.002022348,0.001635958,0.002024485,0.002694593],"category_scores_gemma":[0.003734497,0.0004407655,0.000869928,0.0008300316,0.001337581,0.00214852,0.0008830522,0.001744689,0.0002012203],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.001055874,"about_ca_system_score_gemma":0.0007425574,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.003606725,"about_ca_topic_score_gemma":0.001865912,"domain_scores_codex":[0.999248,0.0003893261,0.00002728162,0.0001256519,0.0001368326,0.00007292848],"domain_scores_gemma":[0.9988639,0.0006466588,0.0001677124,0.00009231788,0.000150262,0.0000791483],"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":[0.0000326602,0.00004085419,0.0008445144,0.00002952557,0.00004153794,0.0003671303,0.00007856294,0.7259915,0.0012376,0.2647073,0.0006823919,0.005946467],"study_design_scores_gemma":[0.00000545625,0.000005878641,0.00005891385,0.000001588741,0.000003843046,0.00001730024,0.000003854686,0.9812747,0.00004619538,0.01846534,0.0001121218,0.000004857093],"study_design_candidate":"simulation_or_modeling","study_design_consensus":"simulation_or_modeling","genre_codex":"methods","genre_gemma":"methods","genre_scores_codex":[0.08831261,0.0005278881,0.9045946,0.001021375,0.0001038342,0.00003494334,0.0001135832,0.0001641961,0.005126986],"genre_scores_gemma":[0.9735246,0.0002848866,0.02065579,0.00009075378,0.00009583883,0.0000508705,0.00008230029,0.00002527107,0.005189719],"genre_candidate":"methods","genre_consensus":"methods","teacher_disagreement_score":0.003606725,"threshold_uncertainty_score":0.009193063,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.03254033238618079,"score_gpt":0.2275160600145056,"score_spread":0.1949757276283248,"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."}}