{"id":"W2968873685","doi":"10.1142/s242478631950018x","title":"Option pricing in a subdiffusive constant elasticity of variance (CEV) model","year":2019,"lang":"en","type":"article","venue":"International Journal of Financial Engineering","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":4,"is_retracted":false,"has_abstract":true,"ca_institutions":"Bank of Canada; University of Ottawa","funders":"","keywords":"Subordinator; Constant elasticity of variance model; Elasticity (physics); Eigenfunction; Mathematics; Constant (computer programming); Applied mathematics; Variance (accounting); Inverse; Valuation of options; Statistical physics; Mathematical analysis; Econometrics; Economics; Physics; Computer science; Lévy process; Geometry; Thermodynamics; 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":[0.001364374,0.000611567,0.001146349,0.000696444,0.0005332342,0.002209368,0.001897511,0.002630932,0.002276699],"category_scores_gemma":[0.004742971,0.0004004273,0.001002261,0.0005960654,0.001807034,0.003476215,0.001438653,0.002081314,0.0002435524],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0007798073,"about_ca_system_score_gemma":0.0006201515,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.002940546,"about_ca_topic_score_gemma":0.001263149,"domain_scores_codex":[0.9993325,0.0002283353,0.00002943778,0.0001255149,0.0001664253,0.0001178104],"domain_scores_gemma":[0.9983726,0.0007347359,0.0002806902,0.000175394,0.0002349239,0.0002017668],"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":[0.0001114,0.00008447193,0.00175867,0.00005700441,0.00005301557,0.0007796051,0.0001692776,0.3461225,0.004786904,0.6398895,0.001042409,0.005145208],"study_design_scores_gemma":[0.00001639128,0.000016526,0.0002625009,0.000004131929,0.000008167101,0.00009365142,0.0000206015,0.9522653,0.0001957021,0.04675509,0.0003466342,0.00001524604],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":"theoretical_or_conceptual","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.3574429,0.001007933,0.6200142,0.001701348,0.0002737731,0.00006675095,0.0001370453,0.0001937961,0.01916227],"genre_scores_gemma":[0.9824326,0.0002932322,0.009476738,0.0001407357,0.00007650731,0.00003640728,0.00004059179,0.00002720006,0.007475891],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.002940546,"threshold_uncertainty_score":0.007616282,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.009894248092641932,"score_gpt":0.2031375074983793,"score_spread":0.1932432594057374,"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."}}