{"total":10,"items":[{"citing_arxiv_id":"2606.09564","ref_index":22,"ref_count":1,"confidence":0.9,"is_internal_anchor":false,"paper_title":"Option prices from operational-time reaction-boundary lattices","primary_cat":"q-fin.PR","submitted_at":"2026-06-08T14:38:58+00:00","verdict":"UNVERDICTED","verdict_confidence":"LOW","novelty_score":4.0,"formal_verification":"none","one_line_summary":"Derives a generalized European option pricing PDE from an operational-time log-price lattice with state-dependent transitions that converges to the Black-Scholes-Merton PDE under risk-neutral drift and constant volatility.","context_count":0,"top_context_role":null,"top_context_polarity":null,"context_text":null},{"citing_arxiv_id":"2606.07482","ref_index":17,"ref_count":1,"confidence":0.9,"is_internal_anchor":false,"paper_title":"Moments in Rough Bergomi and Boundary Attainment in Rough Heston","primary_cat":"math.PR","submitted_at":"2026-06-05T17:36:26+00:00","verdict":"UNVERDICTED","verdict_confidence":"LOW","novelty_score":8.0,"formal_verification":"none","one_line_summary":"Proves finite moments E[S_T^p] < ∞ for p < p_ρ in rough Bergomi under ρ ∈ [-1,0) and positive atom at zero for rough Heston variance process.","context_count":0,"top_context_role":null,"top_context_polarity":null,"context_text":null},{"citing_arxiv_id":"2606.07290","ref_index":19,"ref_count":1,"confidence":0.9,"is_internal_anchor":false,"paper_title":"Boundary behaviour of the Volterra square-root process","primary_cat":"math.PR","submitted_at":"2026-06-05T14:01:04+00:00","verdict":"UNVERDICTED","verdict_confidence":"LOW","novelty_score":6.0,"formal_verification":"none","one_line_summary":"For regular Volterra kernels the square-root process avoids zero under a time-dependent Feller condition while rough regularly-varying kernels force an atom at zero, with the limit law still having finite negative exponential moments; 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