{"id":"W3215987396","doi":"10.26794/2308-944x-2021-9-3-7-26","title":"Option Pricing under Randomised GBM Models","year":2021,"lang":"en","type":"article","venue":"Review of Business and Economics Studies","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":0,"is_retracted":false,"has_abstract":true,"ca_institutions":"Wilfrid Laurier University","funders":"","keywords":"Black–Scholes model; Mathematics; Valuation of options; SABR volatility model; Stochastic volatility; Econometrics; Implied volatility; Geometric Brownian motion; Volatility (finance); Applied mathematics; Mathematical economics; Economics","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":[0.002945308,0.0008430989,0.001196911,0.0009479708,0.0003343191,0.001781157,0.001891091,0.001904178,0.00242401],"category_scores_gemma":[0.008005213,0.0004971786,0.00193577,0.0009851421,0.001786974,0.003200488,0.001255466,0.002223433,0.0004642336],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.001201671,"about_ca_system_score_gemma":0.0007798962,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.001971099,"about_ca_topic_score_gemma":0.0009333685,"domain_scores_codex":[0.9983852,0.0009009645,0.00006065175,0.0002437794,0.0002497323,0.0001596623],"domain_scores_gemma":[0.9976369,0.001322053,0.0004407639,0.0002490956,0.0002271255,0.0001240324],"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":[0.00002931714,0.00002399095,0.0006053923,0.00005463896,0.00004268178,0.0001525755,0.00007106704,0.2070605,0.001112718,0.7842003,0.0005939578,0.006052939],"study_design_scores_gemma":[0.0000195737,0.0000223206,0.0002911928,0.00001456113,0.00001239875,0.00007468984,0.000009763895,0.6527078,0.0002047395,0.3458944,0.0007270704,0.00002156169],"study_design_candidate":"simulation_or_modeling","study_design_consensus":null,"genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.06744898,0.0008577215,0.9265302,0.0005430767,0.00007491485,0.00004543945,0.0002132882,0.000247896,0.004038572],"genre_scores_gemma":[0.9110371,0.00178119,0.07803956,0.0003154556,0.0002045939,0.0002233773,0.0004027135,0.0001099188,0.007886121],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.002945308,"threshold_uncertainty_score":0.01557642,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.0745334035693758,"score_gpt":0.260919523913555,"score_spread":0.1863861203441792,"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."}}