{"bundle_type":"pith_open_graph_bundle","bundle_version":"1.0","pith_number":"pith:2020:ARQTYO72CHCYKEHHF6ZJMXIVMS","short_pith_number":"pith:ARQTYO72","canonical_record":{"source":{"id":"2002.10194","kind":"arxiv","version":1},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.MF","submitted_at":"2020-02-24T12:21:26Z","cross_cats_sorted":["q-fin.PR"],"title_canon_sha256":"30044715dd075dff941d961c3f82482350da579504df7ac6670029c1dc43b96e","abstract_canon_sha256":"5fa69319c19bdfa42bfb0466fac967d055f263031e3fc7eac0be0606f47b192a"},"schema_version":"1.0"},"canonical_sha256":"04613c3bfa11c58510e72fb2965d1564b942b2d534a4805e1e348a2f0dddf42c","source":{"kind":"arxiv","id":"2002.10194","version":1},"source_aliases":[{"alias_kind":"arxiv","alias_value":"2002.10194","created_at":"2026-07-05T00:43:15Z"},{"alias_kind":"arxiv_version","alias_value":"2002.10194v1","created_at":"2026-07-05T00:43:15Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.2002.10194","created_at":"2026-07-05T00:43:15Z"},{"alias_kind":"pith_short_12","alias_value":"ARQTYO72CHCY","created_at":"2026-07-05T00:43:15Z"},{"alias_kind":"pith_short_16","alias_value":"ARQTYO72CHCYKEHH","created_at":"2026-07-05T00:43:15Z"},{"alias_kind":"pith_short_8","alias_value":"ARQTYO72","created_at":"2026-07-05T00:43:15Z"}],"events":[{"event_type":"record_created","subject_pith_number":"pith:2020:ARQTYO72CHCYKEHHF6ZJMXIVMS","target":"record","payload":{"canonical_record":{"source":{"id":"2002.10194","kind":"arxiv","version":1},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.MF","submitted_at":"2020-02-24T12:21:26Z","cross_cats_sorted":["q-fin.PR"],"title_canon_sha256":"30044715dd075dff941d961c3f82482350da579504df7ac6670029c1dc43b96e","abstract_canon_sha256":"5fa69319c19bdfa42bfb0466fac967d055f263031e3fc7eac0be0606f47b192a"},"schema_version":"1.0"},"canonical_sha256":"04613c3bfa11c58510e72fb2965d1564b942b2d534a4805e1e348a2f0dddf42c","receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-07-05T00:43:15.405504Z","signature_b64":"zs9/Kn71MB0skzhD6qF218jDq1wZeoKRMYcxbJ+TH36FRklMq+RBIU/9x5C6i9QjWdHc6vliwedKpuEwKY+qCQ==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"04613c3bfa11c58510e72fb2965d1564b942b2d534a4805e1e348a2f0dddf42c","last_reissued_at":"2026-07-05T00:43:15.405004Z","signature_status":"signed_v1","first_computed_at":"2026-07-05T00:43:15.405004Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"source_kind":"arxiv","source_id":"2002.10194","source_version":1,"attestation_state":"computed"},"signer":{"signer_id":"pith.science","signer_type":"pith_registry","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"created_at":"2026-07-05T00:43:15Z","supersedes":[],"prev_event":null,"signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"vP45GTtb9OEdEAmFP12QjZ2TJHST/vjrsWqVuHIb0LCHscjnuN6iuvQ3DW5SjgRdwuHMZykytjh2ptXuFOJfCA==","signed_message":"open_graph_event_sha256_bytes","signed_at":"2026-08-06T04:02:16.355711Z"},"content_sha256":"4f7dd941e696b2f3ac7acc98f773ca0158ec0416f7c7dc6139cf368d92c59339","schema_version":"1.0","event_id":"sha256:4f7dd941e696b2f3ac7acc98f773ca0158ec0416f7c7dc6139cf368d92c59339"},{"event_type":"graph_snapshot","subject_pith_number":"pith:2020:ARQTYO72CHCYKEHHF6ZJMXIVMS","target":"graph","payload":{"graph_snapshot":{"paper":{"title":"A Put-Call Transformation of the Exchange Option Problem under Stochastic Volatility and Jump Diffusion Dynamics","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["q-fin.PR"],"primary_cat":"q-fin.MF","authors_text":"Gerald H. L. Cheang, Len Patrick Dominic M. Garces","submitted_at":"2020-02-24T12:21:26Z","abstract_excerpt":"We price European and American exchange options where the underlying asset prices are modelled using a Merton (1976) jump-diffusion with a common Heston (1993) stochastic volatility process. Pricing is performed under an equivalent martingale measure obtained by setting the second asset yield process as the numeraire asset, as suggested by Bjerskund and Stensland (1993). Such a choice for the numeraire reduces the exchange option pricing problem, a two-dimensional problem, to pricing a call option written on the ratio of the yield processes of the two assets, a one-dimensional problem. The joi"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"2002.10194","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":""},"integrity":{"clean":true,"summary":{"advisory":0,"critical":0,"by_detector":{},"informational":0},"endpoint":"/pith/2002.10194/integrity.json","findings":[],"available":true,"detectors_run":[],"snapshot_sha256":"c28c3603d3b5d939e8dc4c7e95fa8dfce3d595e45f758748cecf8e644a296938"},"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":"2026-07-05T00:43:15Z","supersedes":[],"prev_event":null,"signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"79/1U336BNyM9JHwFTE5A7yz0k3gqUW830J08uThWwjxaJzS65gzSKhVtQQtr/CVjDCgnyUAWpvyaeMJImiiBw==","signed_message":"open_graph_event_sha256_bytes","signed_at":"2026-08-06T04:02:16.356204Z"},"content_sha256":"fc31a4b5f3d907405c9dbe232e5f3898636747a809385823a2f28bc56d7b7b2f","schema_version":"1.0","event_id":"sha256:fc31a4b5f3d907405c9dbe232e5f3898636747a809385823a2f28bc56d7b7b2f"}],"timestamp_proofs":[],"mirror_hints":[{"mirror_type":"https","name":"Pith Resolver","base_url":"https://pith.science","bundle_url":"https://pith.science/pith/ARQTYO72CHCYKEHHF6ZJMXIVMS/bundle.json","state_url":"https://pith.science/pith/ARQTYO72CHCYKEHHF6ZJMXIVMS/state.json","well_known_bundle_url":"https://pith.science/.well-known/pith/ARQTYO72CHCYKEHHF6ZJMXIVMS/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":"2026-08-06T04:02:16Z","links":{"resolver":"https://pith.science/pith/ARQTYO72CHCYKEHHF6ZJMXIVMS","bundle":"https://pith.science/pith/ARQTYO72CHCYKEHHF6ZJMXIVMS/bundle.json","state":"https://pith.science/pith/ARQTYO72CHCYKEHHF6ZJMXIVMS/state.json","well_known_bundle":"https://pith.science/.well-known/pith/ARQTYO72CHCYKEHHF6ZJMXIVMS/bundle.json"},"state":{"state_type":"pith_open_graph_state","state_version":"1.0","pith_number":"pith:2020:ARQTYO72CHCYKEHHF6ZJMXIVMS","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":"5fa69319c19bdfa42bfb0466fac967d055f263031e3fc7eac0be0606f47b192a","cross_cats_sorted":["q-fin.PR"],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.MF","submitted_at":"2020-02-24T12:21:26Z","title_canon_sha256":"30044715dd075dff941d961c3f82482350da579504df7ac6670029c1dc43b96e"},"schema_version":"1.0","source":{"id":"2002.10194","kind":"arxiv","version":1}},"source_aliases":[{"alias_kind":"arxiv","alias_value":"2002.10194","created_at":"2026-07-05T00:43:15Z"},{"alias_kind":"arxiv_version","alias_value":"2002.10194v1","created_at":"2026-07-05T00:43:15Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.2002.10194","created_at":"2026-07-05T00:43:15Z"},{"alias_kind":"pith_short_12","alias_value":"ARQTYO72CHCY","created_at":"2026-07-05T00:43:15Z"},{"alias_kind":"pith_short_16","alias_value":"ARQTYO72CHCYKEHH","created_at":"2026-07-05T00:43:15Z"},{"alias_kind":"pith_short_8","alias_value":"ARQTYO72","created_at":"2026-07-05T00:43:15Z"}],"graph_snapshots":[{"event_id":"sha256:fc31a4b5f3d907405c9dbe232e5f3898636747a809385823a2f28bc56d7b7b2f","target":"graph","created_at":"2026-07-05T00:43:15Z","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"},"integrity":{"available":true,"clean":true,"detectors_run":[],"endpoint":"/pith/2002.10194/integrity.json","findings":[],"snapshot_sha256":"c28c3603d3b5d939e8dc4c7e95fa8dfce3d595e45f758748cecf8e644a296938","summary":{"advisory":0,"by_detector":{},"critical":0,"informational":0}},"paper":{"abstract_excerpt":"We price European and American exchange options where the underlying asset prices are modelled using a Merton (1976) jump-diffusion with a common Heston (1993) stochastic volatility process. Pricing is performed under an equivalent martingale measure obtained by setting the second asset yield process as the numeraire asset, as suggested by Bjerskund and Stensland (1993). Such a choice for the numeraire reduces the exchange option pricing problem, a two-dimensional problem, to pricing a call option written on the ratio of the yield processes of the two assets, a one-dimensional problem. The joi","authors_text":"Gerald H. L. Cheang, Len Patrick Dominic M. Garces","cross_cats":["q-fin.PR"],"headline":"","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.MF","submitted_at":"2020-02-24T12:21:26Z","title":"A Put-Call Transformation of the Exchange Option Problem under Stochastic Volatility and Jump Diffusion Dynamics"},"references":{"count":0,"internal_anchors":0,"resolved_work":0,"sample":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"2002.10194","kind":"arxiv","version":1},"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":"sha256:4f7dd941e696b2f3ac7acc98f773ca0158ec0416f7c7dc6139cf368d92c59339","target":"record","created_at":"2026-07-05T00:43:15Z","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":"5fa69319c19bdfa42bfb0466fac967d055f263031e3fc7eac0be0606f47b192a","cross_cats_sorted":["q-fin.PR"],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.MF","submitted_at":"2020-02-24T12:21:26Z","title_canon_sha256":"30044715dd075dff941d961c3f82482350da579504df7ac6670029c1dc43b96e"},"schema_version":"1.0","source":{"id":"2002.10194","kind":"arxiv","version":1}},"canonical_sha256":"04613c3bfa11c58510e72fb2965d1564b942b2d534a4805e1e348a2f0dddf42c","receipt":{"algorithm":"ed25519","builder_version":"pith-number-builder-2026-05-17-v1","canonical_sha256":"04613c3bfa11c58510e72fb2965d1564b942b2d534a4805e1e348a2f0dddf42c","first_computed_at":"2026-07-05T00:43:15.405004Z","key_id":"pith-v1-2026-05","kind":"pith_receipt","last_reissued_at":"2026-07-05T00:43:15.405004Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","receipt_version":"0.3","signature_b64":"zs9/Kn71MB0skzhD6qF218jDq1wZeoKRMYcxbJ+TH36FRklMq+RBIU/9x5C6i9QjWdHc6vliwedKpuEwKY+qCQ==","signature_status":"signed_v1","signed_at":"2026-07-05T00:43:15.405504Z","signed_message":"canonical_sha256_bytes"},"source_id":"2002.10194","source_kind":"arxiv","source_version":1}}},"equivocations":[],"invalid_events":[],"applied_event_ids":["sha256:4f7dd941e696b2f3ac7acc98f773ca0158ec0416f7c7dc6139cf368d92c59339","sha256:fc31a4b5f3d907405c9dbe232e5f3898636747a809385823a2f28bc56d7b7b2f"],"state_sha256":"650572e27e966d4d49030d8de45358ecae1307b4c75483f781c4bebbf7442396"},"bundle_signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"8bohIUhAGLWqjJWOSG2IxoZdkCfuJLAhXj7BOtkxO6UkwIa9aZGd2G53wtxU+6ziwh8uqEmyoaoSv5ZGM8JjDA==","signed_message":"bundle_sha256_bytes","signed_at":"2026-08-06T04:02:16.359747Z","bundle_sha256":"71846487bd880feabf606aa1e9c4a1cb03b4dc2f91f0b5ef4a8f0398c0eb867b"}}