{"id":"W3123538928","doi":"10.1093/rapstu/rax021","title":"Option Valuation with Volatility Components, Fat Tails, and Nonmonotonic Pricing Kernels*","year":2017,"lang":"en","type":"article","venue":"The Review of Asset Pricing Studies","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":54,"is_retracted":false,"has_abstract":true,"ca_institutions":"University of Toronto","funders":"","keywords":"Volatility (finance); Valuation (finance); Econometrics; Economics; Financial economics; Mathematics; Finance","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":[0.0009903199,0.0001241313,0.0005177852,0.00003419983,0.0005751073,0.00003799761,0.0002354318,0.0000246086,0.000001407186],"category_scores_gemma":[0.0005332142,0.00008704054,0.00004710122,0.00009981349,0.0001746458,0.0001754284,0.0001446753,0.00008926325,0.00001110867],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.00004989625,"about_ca_system_score_gemma":0.00001160033,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.0001533126,"about_ca_topic_score_gemma":0.00001447807,"domain_scores_codex":[0.999083,0.000009040916,0.0004702898,0.0002465331,0.00005663639,0.0001344562],"domain_scores_gemma":[0.9982667,0.000111995,0.0009842471,0.0004944195,0.0001234909,0.00001915841],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"observational","study_design_scores_codex":[0.00002170825,0.00008827765,0.03103377,0.006759495,0.0002920897,4.301531e-7,0.001211264,0.00001643669,0.00006113813,0.9368055,0.00006180876,0.02364809],"study_design_scores_gemma":[0.000607606,0.0001715909,0.5851639,0.006634189,0.0002227959,0.000006985255,0.0002283544,0.005309009,0.00007419228,0.3970754,0.004123705,0.0003822699],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":null,"genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.08818269,0.369089,0.5355807,0.00459315,0.0001354901,0.001322574,0.00004062379,0.00002891953,0.001026899],"genre_scores_gemma":[0.9124415,0.08552319,0.001761033,0.0001082826,0.00004380625,0.00008329251,0.000004932388,0.000008940267,0.00002504489],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.8242588,"threshold_uncertainty_score":0.4423319,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.09363082530531817,"score_gpt":0.3163451009659941,"score_spread":0.2227142756606759,"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."}}