{"id":"W4234620986","doi":"10.2139/ssrn.3652944","title":"An Innovation for the Local Volatility Surface","year":2020,"lang":"en","type":"article","venue":"SSRN Electronic Journal","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":0,"is_retracted":false,"has_abstract":false,"ca_institutions":"Toronto Metropolitan University","funders":"","keywords":"Volatility (finance); Local volatility; Business; Economics; Financial economics; Implied volatility","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":[0.001931104,0.0005814676,0.00134974,0.001838789,0.0009687404,0.002997166,0.001637963,0.002618875,0.008959912],"category_scores_gemma":[0.01042707,0.0004499021,0.00135412,0.0008683024,0.003658746,0.005117069,0.003195794,0.003763657,0.00160263],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.001167329,"about_ca_system_score_gemma":0.0007836347,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.000777894,"about_ca_topic_score_gemma":0.000424004,"domain_scores_codex":[0.9990132,0.0002554312,0.00004175115,0.0003156823,0.0002611504,0.0001126707],"domain_scores_gemma":[0.9968334,0.001368751,0.0002908414,0.0005297441,0.0005361798,0.0004410867],"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":[0.00002129414,0.00001226245,0.000260049,0.00003808517,0.00001157222,0.00005724288,0.00009003603,0.004185023,0.001776421,0.9818453,0.001464089,0.01023858],"study_design_scores_gemma":[0.00001843826,0.000038847,0.0004864571,0.00002465012,0.00001235768,0.0001677569,0.00004544001,0.08737229,0.0006406386,0.9055955,0.005562295,0.00003525805],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":"theoretical_or_conceptual","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.1197918,0.00283454,0.797569,0.007319751,0.001900536,0.00008214209,0.0002901575,0.0009608501,0.06925121],"genre_scores_gemma":[0.8897526,0.001979845,0.05836593,0.001362081,0.002738044,0.0001196648,0.0002467077,0.0009027923,0.04453243],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.008959912,"threshold_uncertainty_score":0.02997392,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.02925394193490913,"score_gpt":0.2443253733959726,"score_spread":0.2150714314610635,"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."}}