An Empirical Comparison: Two Special Cases of CEV Option Pricing Model and Black-Scholes Model on S&P Canada 60 Index Call Options
Why this work is in the frame
A frame that forgets how it found something cannot be audited. These are the routes that admitted this work.
Bibliographic record
Abstract
Given that the options market is now very large and significant part of the trade of financial instruments, the evaluation of pricing of these derivatives becomes very important for regulators as well as market participants. The value of an option can be estimated by using a variety of quantitative techniques based on the concept of risk neutral pricing. In the famous Black-Scholes pricing formula it is assumed that the underlying stock price returns follow a lognormal distribution. However, empirical studies have shown that this assumption does not perfectly hold. Rubinstein (1994) examines the S&P 500 index option market and finds that Black-Scholes implied volatilities have a “smile” pattern prior to October 1987 market crash and a “sneer” after the crash. Consequently, several kinds of modification of the variances have been tried.
Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.
Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.000 | 0.000 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.000 | 0.000 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.000 | 0.000 |
| Open science | 0.000 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.000 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it