{"id":"W3122770461","doi":"10.2139/ssrn.2124534","title":"Improving Non-Parametric Option Pricing during the Financial Crisis","year":2012,"lang":"en","type":"article","venue":"SSRN Electronic Journal","topic":"Stock Market Forecasting Methods","field":"Decision Sciences","cited_by":2,"is_retracted":false,"has_abstract":false,"ca_institutions":"Lakehead University; University of Guelph","funders":"","keywords":"Financial crisis; Business; Finance; Valuation of options; Economics; Financial system; Financial economics; Macroeconomics","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":[0.002596874,0.0003920117,0.0006972186,0.0004299653,0.0002886208,0.001285625,0.0007212211,0.0009429972,0.001378711],"category_scores_gemma":[0.02428516,0.0003114093,0.0002628797,0.0004834093,0.0002500353,0.002157239,0.00114065,0.001298242,0.0002316343],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0002100965,"about_ca_system_score_gemma":0.0004875724,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.001547908,"about_ca_topic_score_gemma":0.001392401,"domain_scores_codex":[0.9993808,0.0004008544,0.00003458922,0.00005373975,0.00008086125,0.00004916561],"domain_scores_gemma":[0.9922087,0.006233132,0.0003235023,0.0005317163,0.0005591309,0.0001437782],"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":[0.0007644308,0.0002730957,0.01067715,0.000139249,0.00008709504,0.0001952688,0.0002426005,0.7013372,0.007186401,0.01183961,0.002152678,0.2651054],"study_design_scores_gemma":[0.000007282378,0.00002020781,0.0008776208,0.000002395435,0.000006011627,0.00001070166,0.00001418996,0.9960172,0.0004617249,0.002497223,0.00008193418,0.000003504271],"study_design_candidate":"simulation_or_modeling","study_design_consensus":"simulation_or_modeling","genre_codex":"empirical","genre_gemma":"methods","genre_scores_codex":[0.6129561,0.0007960632,0.3819816,0.0008506989,0.0001302685,0.00003537045,0.0001030632,0.0006790209,0.00246779],"genre_scores_gemma":[0.9665635,0.0001722652,0.03242317,0.00004038063,0.0000473066,0.00001747567,0.00009698254,0.00004843713,0.0005903751],"genre_candidate":"methods","genre_consensus":null,"teacher_disagreement_score":0.002596874,"threshold_uncertainty_score":0.01373374,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.03291516931084289,"score_gpt":0.342538171675598,"score_spread":0.3096230023647552,"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."}}