{"bundle_type":"pith_open_graph_bundle","bundle_version":"1.0","pith_number":"pith:2017:3ED3DJYIOPJ7O7HLZBN7AJFMW7","short_pith_number":"pith:3ED3DJYI","canonical_record":{"source":{"id":"1712.10105","kind":"arxiv","version":5},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PR","submitted_at":"2017-12-29T03:13:46Z","cross_cats_sorted":[],"title_canon_sha256":"8943ed5bd9d218b9c4149c2ad1640d5001f36d4fe2e07431aa2fffaf70c10e04","abstract_canon_sha256":"676289ef257fcbee69a93d5790ad8658d9629b4b74aee71cedeea9c18d3e566c"},"schema_version":"1.0"},"canonical_sha256":"d907b1a70873d3f77cebc85bf024acb7cfdc2c0685d4aa33980f48ccc9cc09a8","source":{"kind":"arxiv","id":"1712.10105","version":5},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1712.10105","created_at":"2026-05-18T00:21:04Z"},{"alias_kind":"arxiv_version","alias_value":"1712.10105v5","created_at":"2026-05-18T00:21:04Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1712.10105","created_at":"2026-05-18T00:21:04Z"},{"alias_kind":"pith_short_12","alias_value":"3ED3DJYIOPJ7","created_at":"2026-05-18T12:30:58Z"},{"alias_kind":"pith_short_16","alias_value":"3ED3DJYIOPJ7O7HL","created_at":"2026-05-18T12:30:58Z"},{"alias_kind":"pith_short_8","alias_value":"3ED3DJYI","created_at":"2026-05-18T12:30:58Z"}],"events":[{"event_type":"record_created","subject_pith_number":"pith:2017:3ED3DJYIOPJ7O7HLZBN7AJFMW7","target":"record","payload":{"canonical_record":{"source":{"id":"1712.10105","kind":"arxiv","version":5},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PR","submitted_at":"2017-12-29T03:13:46Z","cross_cats_sorted":[],"title_canon_sha256":"8943ed5bd9d218b9c4149c2ad1640d5001f36d4fe2e07431aa2fffaf70c10e04","abstract_canon_sha256":"676289ef257fcbee69a93d5790ad8658d9629b4b74aee71cedeea9c18d3e566c"},"schema_version":"1.0"},"canonical_sha256":"d907b1a70873d3f77cebc85bf024acb7cfdc2c0685d4aa33980f48ccc9cc09a8","receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-05-18T00:21:04.360481Z","signature_b64":"hYcDWXBnfnha9F1KLBuG9jMK2A5Crsz5m/DiOGZcSaccOgUHzylDkcP67XfPvisNQxuJ5T0lESx5ldLCBloCAw==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"d907b1a70873d3f77cebc85bf024acb7cfdc2c0685d4aa33980f48ccc9cc09a8","last_reissued_at":"2026-05-18T00:21:04.360014Z","signature_status":"signed_v1","first_computed_at":"2026-05-18T00:21:04.360014Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"source_kind":"arxiv","source_id":"1712.10105","source_version":5,"attestation_state":"computed"},"signer":{"signer_id":"pith.science","signer_type":"pith_registry","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"created_at":"2026-05-18T00:21:04Z","supersedes":[],"prev_event":null,"signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"bUcf8yzuK6xjWrFBTi2yxZptWHSEhidU665IshIldwZnlLKod5abecVRoIoLWAaotb4M4EjXZcM/dRQqb2VSCQ==","signed_message":"open_graph_event_sha256_bytes","signed_at":"2026-06-01T10:11:22.254192Z"},"content_sha256":"ebf2cc58001f9408f865ea6a4d26e851bf7d1c6590509dd9a482ff52b8f9d067","schema_version":"1.0","event_id":"sha256:ebf2cc58001f9408f865ea6a4d26e851bf7d1c6590509dd9a482ff52b8f9d067"},{"event_type":"graph_snapshot","subject_pith_number":"pith:2017:3ED3DJYIOPJ7O7HLZBN7AJFMW7","target":"graph","payload":{"graph_snapshot":{"paper":{"title":"Variance swaps under L\\'{e}vy process with stochastic volatility and stochastic interest rate in incomplete markets","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"q-fin.PR","authors_text":"Ben-zhang Yang, Jia Yue, Nan-jing Huang","submitted_at":"2017-12-29T03:13:46Z","abstract_excerpt":"This paper focuses on the pricing of the variance swap in an incomplete market where the stochastic interest rate and the price of the stock are respectively driven by Cox-Ingersoll-Ross model and Heston model with simultaneous L\\'{e}vy jumps. By using the equilibrium framework, we obtain the pricing kernel and the equivalent martingale measure. Moreover, under the forward measure instead of the risk neural measure, we give the closed-form solution for the fair delivery price of the discretely sampled variance swap by employing the joint moment generating function of the underlying processes. "},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1712.10105","kind":"arxiv","version":5},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"},"verdict_id":null},"signer":{"signer_id":"pith.science","signer_type":"pith_registry","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"created_at":"2026-05-18T00:21:04Z","supersedes":[],"prev_event":null,"signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"3XMQCe+CwU2vcSxaKwfN2BC8/fjbLQq8xiOxKnO+hSEzeBfRokUaz+ui333OTCC/TlDM6nmS8dyjCQPQnlo4DA==","signed_message":"open_graph_event_sha256_bytes","signed_at":"2026-06-01T10:11:22.254560Z"},"content_sha256":"bb99d018b910def2c4e1cbc92efcecfd38bd77f9a78156ce7a68c684bdac3537","schema_version":"1.0","event_id":"sha256:bb99d018b910def2c4e1cbc92efcecfd38bd77f9a78156ce7a68c684bdac3537"}],"timestamp_proofs":[],"mirror_hints":[{"mirror_type":"https","name":"Pith Resolver","base_url":"https://pith.science","bundle_url":"https://pith.science/pith/3ED3DJYIOPJ7O7HLZBN7AJFMW7/bundle.json","state_url":"https://pith.science/pith/3ED3DJYIOPJ7O7HLZBN7AJFMW7/state.json","well_known_bundle_url":"https://pith.science/.well-known/pith/3ED3DJYIOPJ7O7HLZBN7AJFMW7/bundle.json","status":"primary"}],"public_keys":[{"key_id":"pith-v1-2026-05","algorithm":"ed25519","format":"raw","public_key_b64":"stVStoiQhXFxp4s2pdzPNoqVNBMojDU/fJ2db5S3CbM=","public_key_hex":"b2d552b68890857171a78b36a5dccf368a953413288c353f7c9d9d6f94b709b3","fingerprint_sha256_b32_first128bits":"RVFV5Z2OI2J3ZUO7ERDEBCYNKS","fingerprint_sha256_hex":"8d4b5ee74e4693bcd1df2446408b0d54","rotates_at":null,"url":"https://pith.science/pith-signing-key.json","notes":"Pith uses this Ed25519 key to sign canonical record SHA-256 digests. Verify with: ed25519_verify(public_key, message=canonical_sha256_bytes, signature=base64decode(signature_b64))."}],"merge_version":"pith-open-graph-merge-v1","built_at":"2026-06-01T10:11:22Z","links":{"resolver":"https://pith.science/pith/3ED3DJYIOPJ7O7HLZBN7AJFMW7","bundle":"https://pith.science/pith/3ED3DJYIOPJ7O7HLZBN7AJFMW7/bundle.json","state":"https://pith.science/pith/3ED3DJYIOPJ7O7HLZBN7AJFMW7/state.json","well_known_bundle":"https://pith.science/.well-known/pith/3ED3DJYIOPJ7O7HLZBN7AJFMW7/bundle.json"},"state":{"state_type":"pith_open_graph_state","state_version":"1.0","pith_number":"pith:2017:3ED3DJYIOPJ7O7HLZBN7AJFMW7","merge_version":"pith-open-graph-merge-v1","event_count":2,"valid_event_count":2,"invalid_event_count":0,"equivocation_count":0,"current":{"canonical_record":{"metadata":{"abstract_canon_sha256":"676289ef257fcbee69a93d5790ad8658d9629b4b74aee71cedeea9c18d3e566c","cross_cats_sorted":[],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PR","submitted_at":"2017-12-29T03:13:46Z","title_canon_sha256":"8943ed5bd9d218b9c4149c2ad1640d5001f36d4fe2e07431aa2fffaf70c10e04"},"schema_version":"1.0","source":{"id":"1712.10105","kind":"arxiv","version":5}},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1712.10105","created_at":"2026-05-18T00:21:04Z"},{"alias_kind":"arxiv_version","alias_value":"1712.10105v5","created_at":"2026-05-18T00:21:04Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1712.10105","created_at":"2026-05-18T00:21:04Z"},{"alias_kind":"pith_short_12","alias_value":"3ED3DJYIOPJ7","created_at":"2026-05-18T12:30:58Z"},{"alias_kind":"pith_short_16","alias_value":"3ED3DJYIOPJ7O7HL","created_at":"2026-05-18T12:30:58Z"},{"alias_kind":"pith_short_8","alias_value":"3ED3DJYI","created_at":"2026-05-18T12:30:58Z"}],"graph_snapshots":[{"event_id":"sha256:bb99d018b910def2c4e1cbc92efcecfd38bd77f9a78156ce7a68c684bdac3537","target":"graph","created_at":"2026-05-18T00:21:04Z","signer":{"key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signer_id":"pith.science","signer_type":"pith_registry"},"payload":{"graph_snapshot":{"author_claims":{"count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","strong_count":0},"builder_version":"pith-number-builder-2026-05-17-v1","claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"paper":{"abstract_excerpt":"This paper focuses on the pricing of the variance swap in an incomplete market where the stochastic interest rate and the price of the stock are respectively driven by Cox-Ingersoll-Ross model and Heston model with simultaneous L\\'{e}vy jumps. By using the equilibrium framework, we obtain the pricing kernel and the equivalent martingale measure. Moreover, under the forward measure instead of the risk neural measure, we give the closed-form solution for the fair delivery price of the discretely sampled variance swap by employing the joint moment generating function of the underlying processes. ","authors_text":"Ben-zhang Yang, Jia Yue, Nan-jing Huang","cross_cats":[],"headline":"","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PR","submitted_at":"2017-12-29T03:13:46Z","title":"Variance swaps under L\\'{e}vy process with stochastic volatility and stochastic interest rate in incomplete markets"},"references":{"count":0,"internal_anchors":0,"resolved_work":0,"sample":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1712.10105","kind":"arxiv","version":5},"verdict":{"created_at":null,"id":null,"model_set":{},"one_line_summary":"","pipeline_version":null,"pith_extraction_headline":"","strongest_claim":"","weakest_assumption":""}},"verdict_id":null}}],"author_attestations":[],"timestamp_anchors":[],"storage_attestations":[],"citation_signatures":[],"replication_records":[],"corrections":[],"mirror_hints":[],"record_created":{"event_id":"sha256:ebf2cc58001f9408f865ea6a4d26e851bf7d1c6590509dd9a482ff52b8f9d067","target":"record","created_at":"2026-05-18T00:21:04Z","signer":{"key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signer_id":"pith.science","signer_type":"pith_registry"},"payload":{"attestation_state":"computed","canonical_record":{"metadata":{"abstract_canon_sha256":"676289ef257fcbee69a93d5790ad8658d9629b4b74aee71cedeea9c18d3e566c","cross_cats_sorted":[],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PR","submitted_at":"2017-12-29T03:13:46Z","title_canon_sha256":"8943ed5bd9d218b9c4149c2ad1640d5001f36d4fe2e07431aa2fffaf70c10e04"},"schema_version":"1.0","source":{"id":"1712.10105","kind":"arxiv","version":5}},"canonical_sha256":"d907b1a70873d3f77cebc85bf024acb7cfdc2c0685d4aa33980f48ccc9cc09a8","receipt":{"algorithm":"ed25519","builder_version":"pith-number-builder-2026-05-17-v1","canonical_sha256":"d907b1a70873d3f77cebc85bf024acb7cfdc2c0685d4aa33980f48ccc9cc09a8","first_computed_at":"2026-05-18T00:21:04.360014Z","key_id":"pith-v1-2026-05","kind":"pith_receipt","last_reissued_at":"2026-05-18T00:21:04.360014Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","receipt_version":"0.3","signature_b64":"hYcDWXBnfnha9F1KLBuG9jMK2A5Crsz5m/DiOGZcSaccOgUHzylDkcP67XfPvisNQxuJ5T0lESx5ldLCBloCAw==","signature_status":"signed_v1","signed_at":"2026-05-18T00:21:04.360481Z","signed_message":"canonical_sha256_bytes"},"source_id":"1712.10105","source_kind":"arxiv","source_version":5}}},"equivocations":[],"invalid_events":[],"applied_event_ids":["sha256:ebf2cc58001f9408f865ea6a4d26e851bf7d1c6590509dd9a482ff52b8f9d067","sha256:bb99d018b910def2c4e1cbc92efcecfd38bd77f9a78156ce7a68c684bdac3537"],"state_sha256":"61aa182e88c13cce11293fd99ee67128325d843b5f59ff2f0986449d83a4adb8"},"bundle_signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"p/bkfuc4/wzaKYaYEgEKPlvWB6m1gif+fAcpNfI5+qfmXuhOoAercRDbhBOBltlo/Yo427ld5So8pDuuaXOeCw==","signed_message":"bundle_sha256_bytes","signed_at":"2026-06-01T10:11:22.256448Z","bundle_sha256":"405e9871cf38f4476c23c8424540bdfe76ede4858b270f54dbf0d6ca104db3c0"}}