{"id":"W3136096749","doi":"10.3390/jrfm14030136","title":"Quanto Pricing beyond Black–Scholes","year":2021,"lang":"en","type":"article","venue":"Journal of risk and financial management","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":1,"is_retracted":false,"has_abstract":true,"ca_institutions":"","funders":"","keywords":"Black–Scholes model; Valuation of options; Popularity; Exotic option; Computer science; Econometrics; Matching (statistics); Calibration; Actuarial science; Business; Economics; Mathematics; Statistics","routes":{"ca_aff":false,"ca_fund":false,"ca_venue":true,"about_ca":false,"invisible_to_affiliation_only":true},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.002735053,0.0007138073,0.001010534,0.0009319879,0.0005242305,0.002994676,0.001332096,0.001168126,0.005829442],"category_scores_gemma":[0.0108455,0.0004536822,0.001247497,0.001121078,0.002299969,0.006009984,0.002037267,0.002985086,0.0007168945],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0007622198,"about_ca_system_score_gemma":0.0007098122,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.001574237,"about_ca_topic_score_gemma":0.0005042746,"domain_scores_codex":[0.9989188,0.0003842445,0.00006052129,0.0001784326,0.0003828631,0.00007529217],"domain_scores_gemma":[0.9971005,0.001413449,0.0003545485,0.0005800274,0.0003377815,0.0002135581],"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":[0.00001830725,0.00001637537,0.0005471025,0.0000393335,0.00002272238,0.00006775025,0.00005748403,0.02768212,0.0004624299,0.9623085,0.0006912862,0.008086449],"study_design_scores_gemma":[0.000006908408,0.00002254615,0.0003910169,0.00003085937,0.000008202897,0.00004858047,0.00001661176,0.2414757,0.0002890269,0.7533705,0.004320206,0.00001984086],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":"theoretical_or_conceptual","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.07122997,0.004312604,0.8922002,0.002276435,0.0004890534,0.000051104,0.0003718993,0.000444099,0.02862459],"genre_scores_gemma":[0.903719,0.00410089,0.08141456,0.0004939952,0.0007327484,0.0001010458,0.0003484567,0.0002635758,0.008825738],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.005829442,"threshold_uncertainty_score":0.01950145,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.01215973348065598,"score_gpt":0.2102474715330651,"score_spread":0.1980877380524091,"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."}}