{"state_type":"pith_open_graph_state","state_version":"1.0","pith_number":"pith:2011:FDNSUJ5OXWG4ZU6Y27IJ6MZOP4","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":"62b9ebc1015cb4527b9d7f5a8034d281a6f5dfde74a26e38c518560364818de9","cross_cats_sorted":["math.PR","q-fin.CP"],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PR","submitted_at":"2011-05-16T19:33:22Z","title_canon_sha256":"014e353cd74f5acc9c2a40029c69f2684e00296da1e0cf7cd75a2aaac6bfb93f"},"schema_version":"1.0","source":{"id":"1105.3180","kind":"arxiv","version":2}},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1105.3180","created_at":"2026-05-18T04:06:20Z"},{"alias_kind":"arxiv_version","alias_value":"1105.3180v2","created_at":"2026-05-18T04:06:20Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1105.3180","created_at":"2026-05-18T04:06:20Z"},{"alias_kind":"pith_short_12","alias_value":"FDNSUJ5OXWG4","created_at":"2026-05-18T12:26:28Z"},{"alias_kind":"pith_short_16","alias_value":"FDNSUJ5OXWG4ZU6Y","created_at":"2026-05-18T12:26:28Z"},{"alias_kind":"pith_short_8","alias_value":"FDNSUJ5O","created_at":"2026-05-18T12:26:28Z"}],"graph_snapshots":[{"event_id":"sha256:62459151d8b6cd80405ef939743ce723f9e3d9964eb2603474d56c012002470f","target":"graph","created_at":"2026-05-18T04:06:20Z","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"},"paper":{"abstract_excerpt":"We derive a small-time expansion for out-of-the-money call options under an exponential Levy model, using the small-time expansion for the distribution function given in Figueroa-Lopez & Houdre (2009), combined with a change of num\\'eraire via the Esscher transform. In particular, we quantify find that the effect of a non-zero volatility $\\sigma$ of the Gaussian component of the driving L\\'{e}vy process is to increase the call price by $1/2\\sigma^2 t^2 e^{k}\\nu(k)(1+o(1))$ as $t \\to 0$, where $\\nu$ is the L\\'evy density. Using the small-time expansion for call options, we then derive a small-t","authors_text":"Jose E. Figueroa-Lopez, Martin Forde","cross_cats":["math.PR","q-fin.CP"],"headline":"","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PR","submitted_at":"2011-05-16T19:33:22Z","title":"The small-maturity smile for exponential Levy models"},"references":{"count":0,"internal_anchors":0,"resolved_work":0,"sample":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1105.3180","kind":"arxiv","version":2},"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:a640ee24d9d020f9756a30fbd3de2bffccee03e12b31d223d9e5758947eb120d","target":"record","created_at":"2026-05-18T04:06:20Z","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":"62b9ebc1015cb4527b9d7f5a8034d281a6f5dfde74a26e38c518560364818de9","cross_cats_sorted":["math.PR","q-fin.CP"],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PR","submitted_at":"2011-05-16T19:33:22Z","title_canon_sha256":"014e353cd74f5acc9c2a40029c69f2684e00296da1e0cf7cd75a2aaac6bfb93f"},"schema_version":"1.0","source":{"id":"1105.3180","kind":"arxiv","version":2}},"canonical_sha256":"28db2a27aebd8dccd3d8d7d09f332e7f16f526186124ecd40c5733c6d1343a59","receipt":{"algorithm":"ed25519","builder_version":"pith-number-builder-2026-05-17-v1","canonical_sha256":"28db2a27aebd8dccd3d8d7d09f332e7f16f526186124ecd40c5733c6d1343a59","first_computed_at":"2026-05-18T04:06:20.940065Z","key_id":"pith-v1-2026-05","kind":"pith_receipt","last_reissued_at":"2026-05-18T04:06:20.940065Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","receipt_version":"0.3","signature_b64":"yduJ/EMI2giYWowl6KCAXtIi/w/K5IGsuu9zXYp3hkdfPT+pE5eD0RBLXrQk5IFQ/LDLMnhC/4NUxK4O2zKiDA==","signature_status":"signed_v1","signed_at":"2026-05-18T04:06:20.940804Z","signed_message":"canonical_sha256_bytes"},"source_id":"1105.3180","source_kind":"arxiv","source_version":2}}},"equivocations":[],"invalid_events":[],"applied_event_ids":["sha256:a640ee24d9d020f9756a30fbd3de2bffccee03e12b31d223d9e5758947eb120d","sha256:62459151d8b6cd80405ef939743ce723f9e3d9964eb2603474d56c012002470f"],"state_sha256":"5059df8481bf9a08bb9d3700a2455b27aed21486a1eab6aa6e3cd97c275f604b"}