{"id":"W4389105408","doi":"10.2139/ssrn.4619038","title":"Efficient likelihood estimation of Heston model for novel climate-related financial contracts valuation","year":2023,"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":"McGill University","funders":"","keywords":"Heston model; Valuation (finance); Economics; Econometrics; Estimation; Maximum likelihood; Actuarial science; Stochastic volatility; Finance; Mathematics; Statistics; SABR volatility model; 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":[0.003001378,0.0006880396,0.001397656,0.0007693945,0.0004172183,0.002018183,0.001571396,0.00221443,0.004170313],"category_scores_gemma":[0.01218476,0.0007721455,0.0009071667,0.0007876738,0.001095131,0.003059972,0.001412194,0.001967793,0.0004239618],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0009189603,"about_ca_system_score_gemma":0.001191754,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.002577662,"about_ca_topic_score_gemma":0.002056199,"domain_scores_codex":[0.9993168,0.0003894058,0.00002295403,0.0001212024,0.00007779672,0.00007184037],"domain_scores_gemma":[0.9954922,0.003577074,0.0003401235,0.0001545798,0.0002514619,0.0001845671],"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":[0.0001210828,0.00007987924,0.003224501,0.0001154382,0.00008862298,0.0002809211,0.0001237378,0.8255161,0.001398434,0.1524538,0.001267445,0.01533017],"study_design_scores_gemma":[0.000004897462,0.000005586184,0.0001968113,0.000003841757,0.000003955618,0.0000149025,0.000006571371,0.9855682,0.00007718171,0.01401778,0.00009370712,0.000006670305],"study_design_candidate":"simulation_or_modeling","study_design_consensus":"simulation_or_modeling","genre_codex":"methods","genre_gemma":"methods","genre_scores_codex":[0.0844538,0.0004296959,0.9118894,0.0006269576,0.00004658096,0.000040319,0.0001543333,0.0001205448,0.002238398],"genre_scores_gemma":[0.9392487,0.0005467919,0.05186334,0.0001124898,0.0001128505,0.00009152676,0.0004300866,0.00008505772,0.007509175],"genre_candidate":"methods","genre_consensus":"methods","teacher_disagreement_score":0.004170313,"threshold_uncertainty_score":0.01587301,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.02431940458967613,"score_gpt":0.2489338336252196,"score_spread":0.2246144290355435,"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."}}