{"id":"W4412526315","doi":"10.3390/risks13070140","title":"Enhanced Calibration of Spread Option Simulation Pricing","year":2025,"lang":"en","type":"article","venue":"Risks","topic":"Simulation Techniques and Applications","field":"Decision Sciences","cited_by":0,"is_retracted":false,"has_abstract":true,"ca_institutions":"McMaster University; Systems, Applications & Products in Data Processing (Canada)","funders":"Natural Sciences and Engineering Research Council of Canada","keywords":"Calibration; Econometrics; Valuation of options; Computer science; Business; Economics; Mathematics; Statistics","routes":{"ca_aff":true,"ca_fund":true,"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":[0.002578927,0.000627333,0.0006470248,0.001051069,0.0002912317,0.0009420683,0.001058205,0.001421015,0.003551915],"category_scores_gemma":[0.01453754,0.0003261219,0.0005996536,0.001010713,0.0004033929,0.001413974,0.001194379,0.001914148,0.0008133337],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0004343828,"about_ca_system_score_gemma":0.0005621376,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.0008120014,"about_ca_topic_score_gemma":0.0002836956,"domain_scores_codex":[0.9979181,0.001115743,0.00007970037,0.0001779493,0.0006234519,0.00008506794],"domain_scores_gemma":[0.995799,0.00207857,0.0003298087,0.0009430327,0.0007754065,0.00007425159],"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":[0.0002512106,0.0001669002,0.002025579,0.0001111441,0.00006663628,0.0001346129,0.0001293964,0.8109887,0.0307541,0.04278287,0.001050887,0.111538],"study_design_scores_gemma":[0.00001088373,0.00002824898,0.0003471654,0.00001152846,0.000005107047,0.00004997192,0.00000461129,0.9882061,0.005240525,0.005136146,0.0009431429,0.00001667368],"study_design_candidate":"simulation_or_modeling","study_design_consensus":"simulation_or_modeling","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.03129528,0.0001589043,0.9653597,0.0001106482,0.00004743722,0.00003410931,0.00004815971,0.0006897959,0.002256005],"genre_scores_gemma":[0.7312911,0.0003017003,0.2665358,0.0001048399,0.00006615389,0.00009148454,0.0002102064,0.0002675949,0.001131163],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.003551915,"threshold_uncertainty_score":0.01363885,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.1638658913156523,"score_gpt":0.4904305195854775,"score_spread":0.3265646282698251,"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."}}