{"record_type":"pith_number_record","schema_url":"https://pith.science/schemas/pith-number/v1.json","pith_number":"pith:2013:7QIVIR5MAZH52J7VGQSGUOQTW7","short_pith_number":"pith:7QIVIR5M","schema_version":"1.0","canonical_sha256":"fc115447ac064fdd27f534246a3a13b7c20cfd8403e1362eb8cbdb7d93dcfe1b","source":{"kind":"arxiv","id":"1308.4363","version":1},"attestation_state":"computed","paper":{"title":"Optimal robust bounds for variance options","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["math.OC","math.PR"],"primary_cat":"q-fin.PR","authors_text":"Alexander M. G. Cox, Jiajie Wang","submitted_at":"2013-08-20T17:46:37Z","abstract_excerpt":"Robust, or model-independent properties of the variance swap are well-known, and date back to Dupire and Neuberger, who showed that, given the price of co-terminal call options, the price of a variance swap was exactly specified under the assumption that the price process is continuous. In Cox and Wang we showed that a lower bound on the price of a variance call could be established using a solution to the Skorokhod embedding problem due to Root. In this paper, we provide a construction, and a proof of optimality of the upper bound, using results of Rost and Chacon, and show how this proof can"},"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":"1308.4363","kind":"arxiv","version":1},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PR","submitted_at":"2013-08-20T17:46:37Z","cross_cats_sorted":["math.OC","math.PR"],"title_canon_sha256":"ad0b3d06ff729eb15f7d3814faf75019ab625a8e496251e8a94c84bf76dbce13","abstract_canon_sha256":"82ef54dbaef5a0e51a522481fe307444d12d462ce5916aebdc861be9b1f9028e"},"schema_version":"1.0"},"receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-05-18T03:15:33.047750Z","signature_b64":"6C6qMr8GbzZ1yMt/kOMNFXgCZMNlW63b5ZvlulDEj9U075hZV5v98NAV9MHLd3U0WBiFni7LrLyl1AdVa4XwBQ==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"fc115447ac064fdd27f534246a3a13b7c20cfd8403e1362eb8cbdb7d93dcfe1b","last_reissued_at":"2026-05-18T03:15:33.047138Z","signature_status":"signed_v1","first_computed_at":"2026-05-18T03:15:33.047138Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"graph_snapshot":{"paper":{"title":"Optimal robust bounds for variance options","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["math.OC","math.PR"],"primary_cat":"q-fin.PR","authors_text":"Alexander M. G. Cox, Jiajie Wang","submitted_at":"2013-08-20T17:46:37Z","abstract_excerpt":"Robust, or model-independent properties of the variance swap are well-known, and date back to Dupire and Neuberger, who showed that, given the price of co-terminal call options, the price of a variance swap was exactly specified under the assumption that the price process is continuous. In Cox and Wang we showed that a lower bound on the price of a variance call could be established using a solution to the Skorokhod embedding problem due to Root. In this paper, we provide a construction, and a proof of optimality of the upper bound, using results of Rost and Chacon, and show how this proof can"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1308.4363","kind":"arxiv","version":1},"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":"1308.4363","created_at":"2026-05-18T03:15:33.047257+00:00"},{"alias_kind":"arxiv_version","alias_value":"1308.4363v1","created_at":"2026-05-18T03:15:33.047257+00:00"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1308.4363","created_at":"2026-05-18T03:15:33.047257+00:00"},{"alias_kind":"pith_short_12","alias_value":"7QIVIR5MAZH5","created_at":"2026-05-18T12:27:36.564083+00:00"},{"alias_kind":"pith_short_16","alias_value":"7QIVIR5MAZH52J7V","created_at":"2026-05-18T12:27:36.564083+00:00"},{"alias_kind":"pith_short_8","alias_value":"7QIVIR5M","created_at":"2026-05-18T12:27:36.564083+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/7QIVIR5MAZH52J7VGQSGUOQTW7","json":"https://pith.science/pith/7QIVIR5MAZH52J7VGQSGUOQTW7.json","graph_json":"https://pith.science/api/pith-number/7QIVIR5MAZH52J7VGQSGUOQTW7/graph.json","events_json":"https://pith.science/api/pith-number/7QIVIR5MAZH52J7VGQSGUOQTW7/events.json","paper":"https://pith.science/paper/7QIVIR5M"},"agent_actions":{"view_html":"https://pith.science/pith/7QIVIR5MAZH52J7VGQSGUOQTW7","download_json":"https://pith.science/pith/7QIVIR5MAZH52J7VGQSGUOQTW7.json","view_paper":"https://pith.science/paper/7QIVIR5M","resolve_alias":"https://pith.science/api/pith-number/resolve?arxiv=1308.4363&json=true","fetch_graph":"https://pith.science/api/pith-number/7QIVIR5MAZH52J7VGQSGUOQTW7/graph.json","fetch_events":"https://pith.science/api/pith-number/7QIVIR5MAZH52J7VGQSGUOQTW7/events.json","actions":{"anchor_timestamp":"https://pith.science/pith/7QIVIR5MAZH52J7VGQSGUOQTW7/action/timestamp_anchor","attest_storage":"https://pith.science/pith/7QIVIR5MAZH52J7VGQSGUOQTW7/action/storage_attestation","attest_author":"https://pith.science/pith/7QIVIR5MAZH52J7VGQSGUOQTW7/action/author_attestation","sign_citation":"https://pith.science/pith/7QIVIR5MAZH52J7VGQSGUOQTW7/action/citation_signature","submit_replication":"https://pith.science/pith/7QIVIR5MAZH52J7VGQSGUOQTW7/action/replication_record"}},"created_at":"2026-05-18T03:15:33.047257+00:00","updated_at":"2026-05-18T03:15:33.047257+00:00"}