{"id":"W4417313970","doi":"10.1002/fut.70068","title":"Joint Dynamics for the Underlying Asset and Its Implied Volatility Surface: A New Methodology for Option Risk Management","year":2025,"lang":"en","type":"article","venue":"Journal of Futures Markets","topic":"Financial Risk and Volatility Modeling","field":"Economics, Econometrics and Finance","cited_by":0,"is_retracted":false,"has_abstract":true,"ca_institutions":"Concordia University; Group for Research in Decision Analysis; HEC Montréal","funders":"Natural Sciences and Engineering Research Council of Canada; HEC Montréal","keywords":"Straddle; Implied volatility; Volatility (finance); Volatility smile; Risk management; Asset (computer security); Index (typography); Stochastic volatility","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":[0.003927576,0.0009081015,0.0009653958,0.001191754,0.0004580579,0.002180984,0.001992144,0.001483229,0.00336431],"category_scores_gemma":[0.008831508,0.0007794589,0.001738449,0.000923856,0.001568403,0.00361719,0.001982604,0.002982554,0.0005398291],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0009866374,"about_ca_system_score_gemma":0.001161607,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.003095703,"about_ca_topic_score_gemma":0.00158716,"domain_scores_codex":[0.9986534,0.0006910088,0.00005961229,0.0001980895,0.0003105038,0.00008737398],"domain_scores_gemma":[0.9970307,0.00181316,0.0003756046,0.0003410005,0.0002840094,0.0001553869],"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":[0.00001606698,0.00003451262,0.00133471,0.0000303412,0.00006786,0.0001413807,0.0001117195,0.6115792,0.001437151,0.3721532,0.0006770138,0.01241694],"study_design_scores_gemma":[0.000002093161,0.000006611612,0.00008568404,0.000004421006,0.000004765623,0.00001731625,0.000006098173,0.9643038,0.000084584,0.03500005,0.0004786755,0.000005939675],"study_design_candidate":"simulation_or_modeling","study_design_consensus":"simulation_or_modeling","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.005869329,0.0000779527,0.9927209,0.0001510827,0.00001649449,0.00001170626,0.00002599981,0.00005194978,0.001074581],"genre_scores_gemma":[0.7017054,0.0007190621,0.2835937,0.0001994046,0.000251693,0.0003157241,0.0002921821,0.0003616925,0.01256107],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.003927576,"threshold_uncertainty_score":0.02077127,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.1213001320086249,"score_gpt":0.3265390005513968,"score_spread":0.2052388685427719,"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."}}