{"id":"W7024060656","doi":"","title":"Pricing realized variance options using integrated stochastic variance options in the Heston stochastic volatility model","year":2007,"lang":"en","type":"article","venue":"Università Politecnica delle Marche (Università Politecnica delle Marche)","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":0,"is_retracted":false,"has_abstract":true,"ca_institutions":"","funders":"","keywords":"Stochastic volatility; Variance (accounting); Valuation of options; Stochastic game; Heston model; Constant elasticity of variance model; Realized variance; Variance swap; Volatility (finance); Implied volatility","routes":{"ca_aff":false,"ca_fund":false,"ca_venue":false,"about_ca":true,"invisible_to_affiliation_only":true},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"codex-gemma-dda1882f352a","candidate_categories":["metaepi_narrow","sts"],"consensus_categories":[],"category_scores_codex":[0.002552925,0.0007497377,0.001090345,0.001759646,0.001489992,0.0001568291,0.001786778,0.0005787013,0.0001583193],"category_scores_gemma":[0.0006048072,0.0008619818,0.0004845159,0.004129013,0.0008233245,0.0008239026,0.0007814243,0.001499481,0.0001467317],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.002351372,"about_ca_system_score_gemma":0.0006998726,"about_ca_topic_candidate":true,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.00797735,"about_ca_topic_score_gemma":0.0007907337,"domain_scores_codex":[0.9946488,0.0001418113,0.001359797,0.00160126,0.0003630179,0.001885305],"domain_scores_gemma":[0.9951726,0.001260322,0.0008728367,0.001819282,0.0003142546,0.0005607462],"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":[0.0003434251,0.0005282673,0.00007676191,0.00006158723,0.0001092356,0.00003541133,0.003643908,0.05291781,0.0001499364,0.9412714,0.0002196356,0.00064258],"study_design_scores_gemma":[0.002574787,0.0001461088,0.001949697,0.0001576221,0.0001791283,0.0001108217,0.004832582,0.7784688,0.000005484344,0.1979308,0.01241749,0.00122673],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":null,"genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.02383418,0.001111145,0.9519581,0.001814854,0.0001637843,0.001401119,0.000808343,0.0002071955,0.01870133],"genre_scores_gemma":[0.9584401,0.0002254932,0.0383016,0.0005194864,0.0001659077,0.00002992369,0.0002118705,0.0001026009,0.00200297],"genre_candidate":"methods","genre_consensus":null,"teacher_disagreement_score":0.934606,"threshold_uncertainty_score":0.9998099,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.04754253385459558,"score_gpt":0.2587455614251811,"score_spread":0.2112030275705855,"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."}}