{"record_type":"pith_number_record","schema_url":"https://pith.science/schemas/pith-number/v1.json","pith_number":"pith:2016:BP6BYWF3DYU4N2VT4X5CLORKUL","short_pith_number":"pith:BP6BYWF3","schema_version":"1.0","canonical_sha256":"0bfc1c58bb1e29c6eab3e5fa25ba2aa2d24d1236208e24748d4b482cef0538b7","source":{"kind":"arxiv","id":"1607.00077","version":2},"attestation_state":"computed","paper":{"title":"Existence of a calibrated regime switching local volatility model and new fake Brownian motions","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["q-fin.MF"],"primary_cat":"math.PR","authors_text":"Alexandre Zhou, Benjamin Jourdain","submitted_at":"2016-06-30T23:15:39Z","abstract_excerpt":"By Gyongy's theorem, a local and stochastic volatility (LSV) model is calibrated to the market prices of all European call options with positive maturities and strikes if its local volatility function is equal to the ratio of the Dupire local volatility function over the root conditional mean square of the stochastic volatility factor given the spot value. This leads to a SDE nonlinear in the sense of McKean. Particle methods based on a kernel approximation of the conditional expectation, as presented by Guyon and Henry-Labord\\`ere (2011), provide an efficient calibration procedure even if som"},"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":"1607.00077","kind":"arxiv","version":2},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"math.PR","submitted_at":"2016-06-30T23:15:39Z","cross_cats_sorted":["q-fin.MF"],"title_canon_sha256":"5933abb4596e60e40b7b4c9278b9b1e12478a419596aa43467ea26f9138f13e0","abstract_canon_sha256":"5f932b6f02b0fa3028fc26dca9d7cdaeb040b75020d9d0475d874f90a224fc75"},"schema_version":"1.0"},"receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-05-18T00:52:25.465275Z","signature_b64":"QnC0N7tz9w1lUqyzlvOaS6al0vnN7eBkbuRi7BKvg8wtVGp8iyOGKEq8Zg0BsQ+51K1/gsCssTS9LSliTKASAQ==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"0bfc1c58bb1e29c6eab3e5fa25ba2aa2d24d1236208e24748d4b482cef0538b7","last_reissued_at":"2026-05-18T00:52:25.464732Z","signature_status":"signed_v1","first_computed_at":"2026-05-18T00:52:25.464732Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"graph_snapshot":{"paper":{"title":"Existence of a calibrated regime switching local volatility model and new fake Brownian motions","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["q-fin.MF"],"primary_cat":"math.PR","authors_text":"Alexandre Zhou, Benjamin Jourdain","submitted_at":"2016-06-30T23:15:39Z","abstract_excerpt":"By Gyongy's theorem, a local and stochastic volatility (LSV) model is calibrated to the market prices of all European call options with positive maturities and strikes if its local volatility function is equal to the ratio of the Dupire local volatility function over the root conditional mean square of the stochastic volatility factor given the spot value. This leads to a SDE nonlinear in the sense of McKean. Particle methods based on a kernel approximation of the conditional expectation, as presented by Guyon and Henry-Labord\\`ere (2011), provide an efficient calibration procedure even if som"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1607.00077","kind":"arxiv","version":2},"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":"1607.00077","created_at":"2026-05-18T00:52:25.464825+00:00"},{"alias_kind":"arxiv_version","alias_value":"1607.00077v2","created_at":"2026-05-18T00:52:25.464825+00:00"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1607.00077","created_at":"2026-05-18T00:52:25.464825+00:00"},{"alias_kind":"pith_short_12","alias_value":"BP6BYWF3DYU4","created_at":"2026-05-18T12:30:07.202191+00:00"},{"alias_kind":"pith_short_16","alias_value":"BP6BYWF3DYU4N2VT","created_at":"2026-05-18T12:30:07.202191+00:00"},{"alias_kind":"pith_short_8","alias_value":"BP6BYWF3","created_at":"2026-05-18T12:30:07.202191+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/BP6BYWF3DYU4N2VT4X5CLORKUL","json":"https://pith.science/pith/BP6BYWF3DYU4N2VT4X5CLORKUL.json","graph_json":"https://pith.science/api/pith-number/BP6BYWF3DYU4N2VT4X5CLORKUL/graph.json","events_json":"https://pith.science/api/pith-number/BP6BYWF3DYU4N2VT4X5CLORKUL/events.json","paper":"https://pith.science/paper/BP6BYWF3"},"agent_actions":{"view_html":"https://pith.science/pith/BP6BYWF3DYU4N2VT4X5CLORKUL","download_json":"https://pith.science/pith/BP6BYWF3DYU4N2VT4X5CLORKUL.json","view_paper":"https://pith.science/paper/BP6BYWF3","resolve_alias":"https://pith.science/api/pith-number/resolve?arxiv=1607.00077&json=true","fetch_graph":"https://pith.science/api/pith-number/BP6BYWF3DYU4N2VT4X5CLORKUL/graph.json","fetch_events":"https://pith.science/api/pith-number/BP6BYWF3DYU4N2VT4X5CLORKUL/events.json","actions":{"anchor_timestamp":"https://pith.science/pith/BP6BYWF3DYU4N2VT4X5CLORKUL/action/timestamp_anchor","attest_storage":"https://pith.science/pith/BP6BYWF3DYU4N2VT4X5CLORKUL/action/storage_attestation","attest_author":"https://pith.science/pith/BP6BYWF3DYU4N2VT4X5CLORKUL/action/author_attestation","sign_citation":"https://pith.science/pith/BP6BYWF3DYU4N2VT4X5CLORKUL/action/citation_signature","submit_replication":"https://pith.science/pith/BP6BYWF3DYU4N2VT4X5CLORKUL/action/replication_record"}},"created_at":"2026-05-18T00:52:25.464825+00:00","updated_at":"2026-05-18T00:52:25.464825+00:00"}