{"id":"W3136635280","doi":"10.2139/ssrn.3729051","title":"Spread option pricing using ADI methods","year":2017,"lang":"en","type":"article","venue":"SSRN Electronic Journal","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":6,"is_retracted":false,"has_abstract":false,"ca_institutions":"University of Toronto","funders":"","keywords":"Valuation of options; Economics; Financial economics; Econometrics; Mathematics; Actuarial science; Business; Computer science","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":[0.003006539,0.0007432317,0.001179146,0.00161268,0.0006139345,0.002575032,0.001498606,0.001374813,0.008133706],"category_scores_gemma":[0.00995285,0.0004982477,0.001042451,0.0016672,0.0008005968,0.002614972,0.001412059,0.003074773,0.001549395],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0005698688,"about_ca_system_score_gemma":0.0007440145,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.001126712,"about_ca_topic_score_gemma":0.0008736094,"domain_scores_codex":[0.99853,0.000874822,0.0000658356,0.0001126382,0.0003556121,0.00006115859],"domain_scores_gemma":[0.9951574,0.003025612,0.0002394806,0.0006014936,0.0007717217,0.0002042386],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"simulation_or_modeling","study_design_scores_codex":[0.0001276439,0.000217013,0.001034915,0.0001351816,0.0001138521,0.0001516053,0.0001109685,0.1600255,0.002182519,0.7061559,0.003286778,0.1264582],"study_design_scores_gemma":[0.00001282083,0.00001543127,0.0001082133,0.000009275499,0.00001068103,0.00004042714,0.000007809904,0.9352071,0.0003449143,0.06267429,0.001557438,0.00001166223],"study_design_candidate":"simulation_or_modeling","study_design_consensus":null,"genre_codex":"methods","genre_gemma":"methods","genre_scores_codex":[0.006924633,0.0003758811,0.9878224,0.0001817961,0.0001533039,0.0000371484,0.00004740174,0.0001542472,0.004303194],"genre_scores_gemma":[0.4148026,0.001382772,0.5542223,0.0002181494,0.0007039979,0.0002983497,0.0003321221,0.0004463184,0.02759345],"genre_candidate":"methods","genre_consensus":"methods","teacher_disagreement_score":0.008133706,"threshold_uncertainty_score":0.02721,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.04740514633870036,"score_gpt":0.3197724828948615,"score_spread":0.2723673365561612,"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."}}