{"id":"W2955105953","doi":"10.3934/qfe.2019.3.440","title":"A recursive pricing method for autocallables under multivariate subordination","year":2019,"lang":"en","type":"article","venue":"Quantitative Finance and Economics","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":6,"is_retracted":false,"has_abstract":true,"ca_institutions":"University of Ottawa","funders":"","keywords":"Subordinator; Lévy process; Multivariate statistics; Subordination (linguistics); Exponential function; Eigenfunction; Measure (data warehouse); Mathematics; Econometrics; Function (biology); Applied mathematics; Class (philosophy); Mathematical economics; Computer science; Mathematical analysis; Statistics; Physics; Linguistics","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":[0.0004013249,0.0001639456,0.0004157455,0.0001301535,0.0001585693,0.00006387346,0.0001296943,0.0001043701,0.00001872508],"category_scores_gemma":[0.0001066959,0.0001976965,0.00007833348,0.0001566547,0.00004283732,0.0003325359,0.00004056005,0.00008499581,0.000191934],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.00008684602,"about_ca_system_score_gemma":0.00003594482,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.0001960293,"about_ca_topic_score_gemma":0.00003575969,"domain_scores_codex":[0.9987105,0.000004118302,0.000465196,0.0005394514,0.00001208779,0.0002686696],"domain_scores_gemma":[0.9989624,0.0003048453,0.0004309849,0.0001898507,0.00007557186,0.000036348],"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":[0.00004343246,0.0000315267,0.0006020827,0.00004041962,0.00002857569,6.966404e-8,0.0004572395,0.001222408,0.00003836316,0.9954161,0.00004333612,0.002076441],"study_design_scores_gemma":[0.0008059083,0.0002110354,0.01048832,0.00002550821,0.000008493311,0.000001772785,0.0003404508,0.1110386,0.00008712028,0.8562709,0.02041632,0.0003055303],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":"theoretical_or_conceptual","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.09603423,0.0009174173,0.8985512,0.0008188306,0.0002433553,0.0006684522,0.0002514233,0.00002363189,0.002491478],"genre_scores_gemma":[0.6041784,0.000574633,0.3930671,0.0005730957,0.00008790536,0.0004054718,0.00006517756,0.00005259654,0.0009956759],"genre_candidate":"methods","genre_consensus":null,"teacher_disagreement_score":0.5081441,"threshold_uncertainty_score":0.806183,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.04382684755182314,"score_gpt":0.2958994400462664,"score_spread":0.2520725924944433,"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."}}