{"id":"W3206626709","doi":"10.1007/s12652-021-03516-y","title":"Lookback option pricing models based on the uncertain fractional-order differential equation with Caputo type","year":2021,"lang":"en","type":"article","venue":"Journal of Ambient Intelligence and Humanized Computing","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":40,"is_retracted":false,"has_abstract":false,"ca_institutions":"University of British Columbia","funders":"Priority Academic Program Development of Jiangsu Higher Education Institutions","keywords":"Order (exchange); Fractional calculus; Valuation of options; Derivative (finance); Black–Scholes model; Mathematics; Integer (computer science); Financial market; Computational intelligence; Call option; Applied mathematics; Mathematical optimization; Econometrics; Computer science; Economics; Financial economics; Finance; Volatility (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":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.002022642,0.001441749,0.003405011,0.001294595,0.001084298,0.004124247,0.002508281,0.004457104,0.004060477],"category_scores_gemma":[0.00629873,0.000958401,0.002115882,0.001399037,0.002613437,0.004316288,0.0015901,0.003152584,0.0002722859],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.00179558,"about_ca_system_score_gemma":0.001387058,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.008369697,"about_ca_topic_score_gemma":0.004583224,"domain_scores_codex":[0.999299,0.0002910247,0.00003325303,0.0001421876,0.0001306203,0.0001039463],"domain_scores_gemma":[0.9977063,0.001308947,0.0003405732,0.00008818574,0.0002881894,0.0002677062],"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":[0.00008770727,0.00008738517,0.001250208,0.0001175712,0.0001192684,0.0006028415,0.0001551614,0.5984678,0.001416614,0.3926214,0.001097684,0.003976349],"study_design_scores_gemma":[0.000006873001,0.00001151301,0.00008398044,0.000004422123,0.00001260508,0.00002650439,0.000008639868,0.9775724,0.0000417991,0.02206386,0.0001542023,0.00001313987],"study_design_candidate":"simulation_or_modeling","study_design_consensus":"simulation_or_modeling","genre_codex":"methods","genre_gemma":"methods","genre_scores_codex":[0.1265608,0.004092151,0.8479038,0.003076016,0.0007603587,0.00006783676,0.0002313035,0.0002469818,0.01706076],"genre_scores_gemma":[0.9658223,0.001385448,0.01386315,0.0002650291,0.0002818908,0.00007857666,0.0001530553,0.00006355805,0.01808697],"genre_candidate":"methods","genre_consensus":"methods","teacher_disagreement_score":0.008369697,"threshold_uncertainty_score":0.01664191,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.08456515060248118,"score_gpt":0.259461325767644,"score_spread":0.1748961751651628,"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."}}