{"record_type":"pith_number_record","schema_url":"https://pith.science/schemas/pith-number/v1.json","pith_number":"pith:2017:D35L6K5BJTCY4WGESLQ2J6IED6","short_pith_number":"pith:D35L6K5B","schema_version":"1.0","canonical_sha256":"1efabf2ba14cc58e58c492e1a4f9041f8812b6e606268b671612f38d337c5d80","source":{"kind":"arxiv","id":"1703.06020","version":1},"attestation_state":"computed","paper":{"title":"Pricing VIX Derivatives With Free Stochastic Volatility Model","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"q-fin.MF","authors_text":"Shane Chern, Shenghong Li, Wei Lin","submitted_at":"2017-03-17T14:11:28Z","abstract_excerpt":"In this paper, we relax the power parameter of instantaneous variance and develop a new stochastic volatility plus jumps model that generalize the Heston model and 3/2 model as special cases. This model has two distinctive features. First, we do not restrict the new parameter, letting the data speak as to its direction. The Generalized Methods of Moments suggests that the newly added parameter is to create varying volatility fluctuation in different period discovered in financial market. Moreover, upward and downward jumps are separately modeled to accommodate the market data. Our model is nov"},"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":"1703.06020","kind":"arxiv","version":1},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.MF","submitted_at":"2017-03-17T14:11:28Z","cross_cats_sorted":[],"title_canon_sha256":"00caed95f65bc96303cae085b289b3857237ed4cee9cda1dd0a0b6283d374460","abstract_canon_sha256":"0ce726b63689a72aa6b1c8380b966963bef4f9a48ebcf4e33bb866c79c93241e"},"schema_version":"1.0"},"receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-05-18T00:48:29.684007Z","signature_b64":"xYq8RNktUKXhSrzC1qf0N2i5rQFvpV3WIpk257E0CoJ+zFudW8t511kkKArWLau/HfuMkvh6AUtaLTWW1mk0CQ==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"1efabf2ba14cc58e58c492e1a4f9041f8812b6e606268b671612f38d337c5d80","last_reissued_at":"2026-05-18T00:48:29.683571Z","signature_status":"signed_v1","first_computed_at":"2026-05-18T00:48:29.683571Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"graph_snapshot":{"paper":{"title":"Pricing VIX Derivatives With Free Stochastic Volatility Model","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"q-fin.MF","authors_text":"Shane Chern, Shenghong Li, Wei Lin","submitted_at":"2017-03-17T14:11:28Z","abstract_excerpt":"In this paper, we relax the power parameter of instantaneous variance and develop a new stochastic volatility plus jumps model that generalize the Heston model and 3/2 model as special cases. This model has two distinctive features. First, we do not restrict the new parameter, letting the data speak as to its direction. The Generalized Methods of Moments suggests that the newly added parameter is to create varying volatility fluctuation in different period discovered in financial market. Moreover, upward and downward jumps are separately modeled to accommodate the market data. Our model is nov"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1703.06020","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":"1703.06020","created_at":"2026-05-18T00:48:29.683629+00:00"},{"alias_kind":"arxiv_version","alias_value":"1703.06020v1","created_at":"2026-05-18T00:48:29.683629+00:00"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1703.06020","created_at":"2026-05-18T00:48:29.683629+00:00"},{"alias_kind":"pith_short_12","alias_value":"D35L6K5BJTCY","created_at":"2026-05-18T12:31:10.602751+00:00"},{"alias_kind":"pith_short_16","alias_value":"D35L6K5BJTCY4WGE","created_at":"2026-05-18T12:31:10.602751+00:00"},{"alias_kind":"pith_short_8","alias_value":"D35L6K5B","created_at":"2026-05-18T12:31:10.602751+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/D35L6K5BJTCY4WGESLQ2J6IED6","json":"https://pith.science/pith/D35L6K5BJTCY4WGESLQ2J6IED6.json","graph_json":"https://pith.science/api/pith-number/D35L6K5BJTCY4WGESLQ2J6IED6/graph.json","events_json":"https://pith.science/api/pith-number/D35L6K5BJTCY4WGESLQ2J6IED6/events.json","paper":"https://pith.science/paper/D35L6K5B"},"agent_actions":{"view_html":"https://pith.science/pith/D35L6K5BJTCY4WGESLQ2J6IED6","download_json":"https://pith.science/pith/D35L6K5BJTCY4WGESLQ2J6IED6.json","view_paper":"https://pith.science/paper/D35L6K5B","resolve_alias":"https://pith.science/api/pith-number/resolve?arxiv=1703.06020&json=true","fetch_graph":"https://pith.science/api/pith-number/D35L6K5BJTCY4WGESLQ2J6IED6/graph.json","fetch_events":"https://pith.science/api/pith-number/D35L6K5BJTCY4WGESLQ2J6IED6/events.json","actions":{"anchor_timestamp":"https://pith.science/pith/D35L6K5BJTCY4WGESLQ2J6IED6/action/timestamp_anchor","attest_storage":"https://pith.science/pith/D35L6K5BJTCY4WGESLQ2J6IED6/action/storage_attestation","attest_author":"https://pith.science/pith/D35L6K5BJTCY4WGESLQ2J6IED6/action/author_attestation","sign_citation":"https://pith.science/pith/D35L6K5BJTCY4WGESLQ2J6IED6/action/citation_signature","submit_replication":"https://pith.science/pith/D35L6K5BJTCY4WGESLQ2J6IED6/action/replication_record"}},"created_at":"2026-05-18T00:48:29.683629+00:00","updated_at":"2026-05-18T00:48:29.683629+00:00"}