Bibliographic record
Abstract
Abstract Numerical methods are needed for derivatives pricing in cases where analytic solutions are either unavailable or not easily computable. The subject of numerical methods in the area of derivatives valuation and hedging is very broad. A wide range of different types of contracts are available, and in many cases there are several candidate models for the stochastic evolution of the underlying state variables. Many subtle numerical issues can arise in various contexts. A complete description of these would be very lengthy, so in this article we will only give a sample of the issues involved. The article first presents a detailed description of the different methods available in the context of the Black – Scholes – Merton model for simple European and American‐style equity options. It then describes how the methods can be adapted to more general contexts, such as derivatives dependent on more than one underlying factor, path‐dependent derivatives, and derivatives with discontinuous payoff functions.
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.
How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.004 | 0.018 |
| Meta-epidemiology (narrow) | 0.001 | 0.001 |
| Meta-epidemiology (broad) | 0.001 | 0.001 |
| Bibliometrics | 0.003 | 0.003 |
| Science and technology studies | 0.001 | 0.004 |
| Scholarly communication | 0.004 | 0.003 |
| Open science | 0.001 | 0.002 |
| Research integrity | 0.002 | 0.004 |
| Insufficient payload (model declined to judge) | 0.014 | 0.005 |
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 itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".