{"id":"W3122434727","doi":"10.1287/mnsc.1090.1065","title":"The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well","year":2009,"lang":"en","type":"article","venue":"Management Science","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":554,"is_retracted":false,"has_abstract":true,"ca_institutions":"McGill University","funders":"Vedecká Grantová Agentúra MŠVVaŠ SR a SAV","keywords":"Stochastic volatility; Implied volatility; Econometrics; Volatility (finance); Volatility smile; Forward volatility; Black–Scholes model; Moneyness; Mathematics; Heston model; Economics; SABR volatility model","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":[0.0002695555,0.00008975052,0.000114398,0.00006989721,0.000603448,0.0001365028,0.0005689008,0.00002884669,0.00001023558],"category_scores_gemma":[0.00003823661,0.00006326635,0.00003152704,0.0006702181,0.0003974603,0.000207977,0.0001592339,0.00007242846,0.000004144912],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.00003991317,"about_ca_system_score_gemma":0.00001122586,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.00002215018,"about_ca_topic_score_gemma":0.00001143996,"domain_scores_codex":[0.9991086,0.000002057987,0.0002637238,0.0003308305,0.00008913097,0.0002056656],"domain_scores_gemma":[0.9993067,0.00002528022,0.0002111991,0.0003891976,0.00003066958,0.00003690231],"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":[0.00001269164,0.00003508206,0.003233176,0.00001444972,0.000005866842,6.846405e-8,0.0002725896,0.002288879,0.00005262319,0.9707705,0.0000369643,0.02327706],"study_design_scores_gemma":[0.0001197085,0.00001372284,0.3922336,0.00001220614,0.000004366459,2.209461e-7,0.00003616579,0.1604389,0.0000123718,0.4466106,0.0004352823,0.00008284843],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":"theoretical_or_conceptual","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.2630369,0.0003506433,0.7336366,0.0009918794,0.0001683225,0.0005250254,0.00002335764,0.00001514142,0.00125216],"genre_scores_gemma":[0.9991107,0.00001985992,0.0005494648,0.0001999459,0.0000181224,0.00001045426,6.108068e-7,0.000003302515,0.00008753735],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.7360738,"threshold_uncertainty_score":0.4641295,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.0165649604688834,"score_gpt":0.2130610774571526,"score_spread":0.1964961169882692,"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."}}