{"record_type":"pith_number_record","schema_url":"https://pith.science/schemas/pith-number/v1.json","pith_number":"pith:2010:3SHNP7BO2O2JEMW4IGO2WZTT64","short_pith_number":"pith:3SHNP7BO","schema_version":"1.0","canonical_sha256":"dc8ed7fc2ed3b49232dc419dab6673f73df266c9657e74a5473ba07dfcf93d2b","source":{"kind":"arxiv","id":"1001.2678","version":3},"attestation_state":"computed","paper":{"title":"Arbitrage Bounds for Prices of Weighted Variance Swaps","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"q-fin.PR","authors_text":"Jan Obloj, Mark H.A. Davis, Vimal Raval","submitted_at":"2010-01-15T14:08:55Z","abstract_excerpt":"We develop robust pricing and hedging of a weighted variance swap when market prices for a finite number of co--maturing put options are given. We assume the given prices do not admit arbitrage and deduce no-arbitrage bounds on the weighted variance swap along with super- and sub- replicating strategies which enforce them. We find that market quotes for variance swaps are surprisingly close to the model-free lower bounds we determine. We solve the problem by transforming it into an analogous question for a European option with a convex payoff. The lower bound becomes a problem in semi-infinite"},"verification_status":{"content_addressed":true,"pith_receipt":true,"author_attested":false,"weak_author_claims":0,"strong_author_claims":0,"externally_anchored":false,"storage_verified":false,"citation_signatures":0,"replication_records":0,"graph_snapshot":true,"references_resolved":false,"formal_links_present":false},"canonical_record":{"source":{"id":"1001.2678","kind":"arxiv","version":3},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PR","submitted_at":"2010-01-15T14:08:55Z","cross_cats_sorted":[],"title_canon_sha256":"044383d593c101283ff1d05ebdfd2e0c99e1d003bb8c2bccfcb73e3b1d2c14f6","abstract_canon_sha256":"a4af9612ada7eff4f989bb93b3789c0689bb0e0898385c0a6c30600c0529a817"},"schema_version":"1.0"},"receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-05-18T03:45:23.441832Z","signature_b64":"dOdUPWkoVS8K2gbXySVkWPIx7UV0YxYj+Gpr3x9iU844+2bYKfHlGMlwEhdLi4FzSuMaKQdbtBCrOoAXEhAOAg==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"dc8ed7fc2ed3b49232dc419dab6673f73df266c9657e74a5473ba07dfcf93d2b","last_reissued_at":"2026-05-18T03:45:23.441284Z","signature_status":"signed_v1","first_computed_at":"2026-05-18T03:45:23.441284Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"graph_snapshot":{"paper":{"title":"Arbitrage Bounds for Prices of Weighted Variance Swaps","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"q-fin.PR","authors_text":"Jan Obloj, Mark H.A. Davis, Vimal Raval","submitted_at":"2010-01-15T14:08:55Z","abstract_excerpt":"We develop robust pricing and hedging of a weighted variance swap when market prices for a finite number of co--maturing put options are given. We assume the given prices do not admit arbitrage and deduce no-arbitrage bounds on the weighted variance swap along with super- and sub- replicating strategies which enforce them. We find that market quotes for variance swaps are surprisingly close to the model-free lower bounds we determine. We solve the problem by transforming it into an analogous question for a European option with a convex payoff. The lower bound becomes a problem in semi-infinite"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1001.2678","kind":"arxiv","version":3},"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"},"aliases":[{"alias_kind":"arxiv","alias_value":"1001.2678","created_at":"2026-05-18T03:45:23.441367+00:00"},{"alias_kind":"arxiv_version","alias_value":"1001.2678v3","created_at":"2026-05-18T03:45:23.441367+00:00"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1001.2678","created_at":"2026-05-18T03:45:23.441367+00:00"},{"alias_kind":"pith_short_12","alias_value":"3SHNP7BO2O2J","created_at":"2026-05-18T12:26:03.138858+00:00"},{"alias_kind":"pith_short_16","alias_value":"3SHNP7BO2O2JEMW4","created_at":"2026-05-18T12:26:03.138858+00:00"},{"alias_kind":"pith_short_8","alias_value":"3SHNP7BO","created_at":"2026-05-18T12:26:03.138858+00:00"}],"events":[],"event_summary":{},"paper_claims":[],"inbound_citations":{"count":0,"internal_anchor_count":0,"sample":[]},"formal_canon":{"evidence_count":0,"sample":[],"anchors":[]},"links":{"html":"https://pith.science/pith/3SHNP7BO2O2JEMW4IGO2WZTT64","json":"https://pith.science/pith/3SHNP7BO2O2JEMW4IGO2WZTT64.json","graph_json":"https://pith.science/api/pith-number/3SHNP7BO2O2JEMW4IGO2WZTT64/graph.json","events_json":"https://pith.science/api/pith-number/3SHNP7BO2O2JEMW4IGO2WZTT64/events.json","paper":"https://pith.science/paper/3SHNP7BO"},"agent_actions":{"view_html":"https://pith.science/pith/3SHNP7BO2O2JEMW4IGO2WZTT64","download_json":"https://pith.science/pith/3SHNP7BO2O2JEMW4IGO2WZTT64.json","view_paper":"https://pith.science/paper/3SHNP7BO","resolve_alias":"https://pith.science/api/pith-number/resolve?arxiv=1001.2678&json=true","fetch_graph":"https://pith.science/api/pith-number/3SHNP7BO2O2JEMW4IGO2WZTT64/graph.json","fetch_events":"https://pith.science/api/pith-number/3SHNP7BO2O2JEMW4IGO2WZTT64/events.json","actions":{"anchor_timestamp":"https://pith.science/pith/3SHNP7BO2O2JEMW4IGO2WZTT64/action/timestamp_anchor","attest_storage":"https://pith.science/pith/3SHNP7BO2O2JEMW4IGO2WZTT64/action/storage_attestation","attest_author":"https://pith.science/pith/3SHNP7BO2O2JEMW4IGO2WZTT64/action/author_attestation","sign_citation":"https://pith.science/pith/3SHNP7BO2O2JEMW4IGO2WZTT64/action/citation_signature","submit_replication":"https://pith.science/pith/3SHNP7BO2O2JEMW4IGO2WZTT64/action/replication_record"}},"created_at":"2026-05-18T03:45:23.441367+00:00","updated_at":"2026-05-18T03:45:23.441367+00:00"}