{"id":"W3010944926","doi":"10.1142/s2424786320500036","title":"Willow tree algorithms for pricing VIX derivatives under stochastic volatility models","year":2020,"lang":"en","type":"article","venue":"International Journal of Financial Engineering","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":1,"is_retracted":false,"has_abstract":true,"ca_institutions":"Toronto Metropolitan University","funders":"","keywords":"Futures contract; Stochastic volatility; Valuation of options; Affine transformation; Mathematics; Fourier transform; Volatility (finance); Applied mathematics; Econometrics; Mathematical optimization; Computer science; Economics; Finance; Mathematical analysis","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":[0.00110227,0.000616432,0.0007099075,0.000864642,0.0006499974,0.001264545,0.001198318,0.001021929,0.004392643],"category_scores_gemma":[0.005002593,0.0002765573,0.0006853029,0.001232549,0.0005118942,0.002388923,0.001012401,0.001287515,0.001091957],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0007661388,"about_ca_system_score_gemma":0.001785527,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.00639993,"about_ca_topic_score_gemma":0.007591501,"domain_scores_codex":[0.9995311,0.0001234564,0.00004572906,0.00005097233,0.0001899166,0.00005877088],"domain_scores_gemma":[0.9990313,0.0004881002,0.0001067155,0.0001247535,0.0001913531,0.00005781061],"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":[0.000157992,0.00008716447,0.001927361,0.0001032766,0.00005910106,0.0001905806,0.0001656759,0.6559973,0.003159108,0.14074,0.003758741,0.1936537],"study_design_scores_gemma":[0.00001127667,0.00001570566,0.00007012205,0.000005493866,0.000003705542,0.00002210715,0.00001250896,0.9800758,0.000398848,0.01828614,0.001092872,0.000005434616],"study_design_candidate":"simulation_or_modeling","study_design_consensus":"simulation_or_modeling","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.01138471,0.0002215735,0.9858547,0.00008928531,0.00004143576,0.00003548308,0.0000520957,0.0006139964,0.001706761],"genre_scores_gemma":[0.2153071,0.0005587228,0.7806295,0.000108524,0.0000618854,0.0001616161,0.000382378,0.0003181138,0.00247231],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.00639993,"threshold_uncertainty_score":0.01469487,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.04365547786072017,"score_gpt":0.2416850569257296,"score_spread":0.1980295790650095,"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."}}