{"bundle_type":"pith_open_graph_bundle","bundle_version":"1.0","pith_number":"pith:2017:ISDNOTQEJV6XLZBQUZJGQIW75C","short_pith_number":"pith:ISDNOTQE","canonical_record":{"source":{"id":"1707.06138","kind":"arxiv","version":1},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PR","submitted_at":"2017-07-19T15:07:46Z","cross_cats_sorted":[],"title_canon_sha256":"a271b209298c9a5df6dcf232ad8e9c1535c862c4268deb2c318c21905896d91e","abstract_canon_sha256":"6094913a5cc763b112bb1121731e53d0c540f66cc07b3cc66dae5760c3bc0aa6"},"schema_version":"1.0"},"canonical_sha256":"4486d74e044d7d75e430a6526822dfe8b969daa0d8a542021a3fba8159e15b80","source":{"kind":"arxiv","id":"1707.06138","version":1},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1707.06138","created_at":"2026-05-18T00:39:57Z"},{"alias_kind":"arxiv_version","alias_value":"1707.06138v1","created_at":"2026-05-18T00:39:57Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1707.06138","created_at":"2026-05-18T00:39:57Z"},{"alias_kind":"pith_short_12","alias_value":"ISDNOTQEJV6X","created_at":"2026-05-18T12:31:21Z"},{"alias_kind":"pith_short_16","alias_value":"ISDNOTQEJV6XLZBQ","created_at":"2026-05-18T12:31:21Z"},{"alias_kind":"pith_short_8","alias_value":"ISDNOTQE","created_at":"2026-05-18T12:31:21Z"}],"events":[{"event_type":"record_created","subject_pith_number":"pith:2017:ISDNOTQEJV6XLZBQUZJGQIW75C","target":"record","payload":{"canonical_record":{"source":{"id":"1707.06138","kind":"arxiv","version":1},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PR","submitted_at":"2017-07-19T15:07:46Z","cross_cats_sorted":[],"title_canon_sha256":"a271b209298c9a5df6dcf232ad8e9c1535c862c4268deb2c318c21905896d91e","abstract_canon_sha256":"6094913a5cc763b112bb1121731e53d0c540f66cc07b3cc66dae5760c3bc0aa6"},"schema_version":"1.0"},"canonical_sha256":"4486d74e044d7d75e430a6526822dfe8b969daa0d8a542021a3fba8159e15b80","receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-05-18T00:39:57.503911Z","signature_b64":"7Vdy/PD/aJzG6PmXSHkQCS3flSG5H/uuXHeRG1l/GaakWkO7AzplU0RZorgjLzYtCvwSjAWAR3I9rVJ6yFnFDA==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"4486d74e044d7d75e430a6526822dfe8b969daa0d8a542021a3fba8159e15b80","last_reissued_at":"2026-05-18T00:39:57.503182Z","signature_status":"signed_v1","first_computed_at":"2026-05-18T00:39:57.503182Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"source_kind":"arxiv","source_id":"1707.06138","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":"2026-05-18T00:39:57Z","supersedes":[],"prev_event":null,"signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"KTt0+sgBu8z1UCkX9LkerQEHS/vug7eaGj9tm0mBXvYApAMlbZwht+hQj5y7iZ5AUo471V36lfsKXjvkK2X2AQ==","signed_message":"open_graph_event_sha256_bytes","signed_at":"2026-06-05T04:38:18.217306Z"},"content_sha256":"c1972f1d834b8bed9a5584eadc4ae5b05f16d0896c1dcb94e4a8a16e2f1721d9","schema_version":"1.0","event_id":"sha256:c1972f1d834b8bed9a5584eadc4ae5b05f16d0896c1dcb94e4a8a16e2f1721d9"},{"event_type":"graph_snapshot","subject_pith_number":"pith:2017:ISDNOTQEJV6XLZBQUZJGQIW75C","target":"graph","payload":{"graph_snapshot":{"paper":{"title":"American Options with Discontinuous Two-Level Caps","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"q-fin.PR","authors_text":"Jerome Detemple, Yerkin Kitapbayev","submitted_at":"2017-07-19T15:07:46Z","abstract_excerpt":"This paper examines the valuation of American capped call options with two-level caps. The structure of the immediate exercise region is significantly more complex than in the classical case with constant cap. When the cap grows over time, making extensive use of probabilistic arguments and local time, we show that the exercise region can be the union of two disconnected set. Alternatively, it can consist of two sets connected by a line. The problem then reduces to the characterization of the upper boundary of the first set, which is shown to satisfy a recursive integral equation. When the cap"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1707.06138","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"},"verdict_id":null},"signer":{"signer_id":"pith.science","signer_type":"pith_registry","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"created_at":"2026-05-18T00:39:57Z","supersedes":[],"prev_event":null,"signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"DEKMC+ET+6u9UzHxiRdkQlUh4Hlt9t7GCCo8lpGqQRlbN5Fdldpc35Czv/RuKOeVVAwzyxgZ03zpEFxWbI4iDQ==","signed_message":"open_graph_event_sha256_bytes","signed_at":"2026-06-05T04:38:18.217901Z"},"content_sha256":"74c73180a40d479258dd192981a0f54ae5f1d6b344fb14ef21e809f40fd05329","schema_version":"1.0","event_id":"sha256:74c73180a40d479258dd192981a0f54ae5f1d6b344fb14ef21e809f40fd05329"}],"timestamp_proofs":[],"mirror_hints":[{"mirror_type":"https","name":"Pith Resolver","base_url":"https://pith.science","bundle_url":"https://pith.science/pith/ISDNOTQEJV6XLZBQUZJGQIW75C/bundle.json","state_url":"https://pith.science/pith/ISDNOTQEJV6XLZBQUZJGQIW75C/state.json","well_known_bundle_url":"https://pith.science/.well-known/pith/ISDNOTQEJV6XLZBQUZJGQIW75C/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":"2026-06-05T04:38:18Z","links":{"resolver":"https://pith.science/pith/ISDNOTQEJV6XLZBQUZJGQIW75C","bundle":"https://pith.science/pith/ISDNOTQEJV6XLZBQUZJGQIW75C/bundle.json","state":"https://pith.science/pith/ISDNOTQEJV6XLZBQUZJGQIW75C/state.json","well_known_bundle":"https://pith.science/.well-known/pith/ISDNOTQEJV6XLZBQUZJGQIW75C/bundle.json"},"state":{"state_type":"pith_open_graph_state","state_version":"1.0","pith_number":"pith:2017:ISDNOTQEJV6XLZBQUZJGQIW75C","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":"6094913a5cc763b112bb1121731e53d0c540f66cc07b3cc66dae5760c3bc0aa6","cross_cats_sorted":[],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PR","submitted_at":"2017-07-19T15:07:46Z","title_canon_sha256":"a271b209298c9a5df6dcf232ad8e9c1535c862c4268deb2c318c21905896d91e"},"schema_version":"1.0","source":{"id":"1707.06138","kind":"arxiv","version":1}},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1707.06138","created_at":"2026-05-18T00:39:57Z"},{"alias_kind":"arxiv_version","alias_value":"1707.06138v1","created_at":"2026-05-18T00:39:57Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1707.06138","created_at":"2026-05-18T00:39:57Z"},{"alias_kind":"pith_short_12","alias_value":"ISDNOTQEJV6X","created_at":"2026-05-18T12:31:21Z"},{"alias_kind":"pith_short_16","alias_value":"ISDNOTQEJV6XLZBQ","created_at":"2026-05-18T12:31:21Z"},{"alias_kind":"pith_short_8","alias_value":"ISDNOTQE","created_at":"2026-05-18T12:31:21Z"}],"graph_snapshots":[{"event_id":"sha256:74c73180a40d479258dd192981a0f54ae5f1d6b344fb14ef21e809f40fd05329","target":"graph","created_at":"2026-05-18T00:39:57Z","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":"This paper examines the valuation of American capped call options with two-level caps. The structure of the immediate exercise region is significantly more complex than in the classical case with constant cap. When the cap grows over time, making extensive use of probabilistic arguments and local time, we show that the exercise region can be the union of two disconnected set. Alternatively, it can consist of two sets connected by a line. The problem then reduces to the characterization of the upper boundary of the first set, which is shown to satisfy a recursive integral equation. When the cap","authors_text":"Jerome Detemple, Yerkin Kitapbayev","cross_cats":[],"headline":"","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PR","submitted_at":"2017-07-19T15:07:46Z","title":"American Options with Discontinuous Two-Level Caps"},"references":{"count":0,"internal_anchors":0,"resolved_work":0,"sample":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1707.06138","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:c1972f1d834b8bed9a5584eadc4ae5b05f16d0896c1dcb94e4a8a16e2f1721d9","target":"record","created_at":"2026-05-18T00:39:57Z","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":"6094913a5cc763b112bb1121731e53d0c540f66cc07b3cc66dae5760c3bc0aa6","cross_cats_sorted":[],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PR","submitted_at":"2017-07-19T15:07:46Z","title_canon_sha256":"a271b209298c9a5df6dcf232ad8e9c1535c862c4268deb2c318c21905896d91e"},"schema_version":"1.0","source":{"id":"1707.06138","kind":"arxiv","version":1}},"canonical_sha256":"4486d74e044d7d75e430a6526822dfe8b969daa0d8a542021a3fba8159e15b80","receipt":{"algorithm":"ed25519","builder_version":"pith-number-builder-2026-05-17-v1","canonical_sha256":"4486d74e044d7d75e430a6526822dfe8b969daa0d8a542021a3fba8159e15b80","first_computed_at":"2026-05-18T00:39:57.503182Z","key_id":"pith-v1-2026-05","kind":"pith_receipt","last_reissued_at":"2026-05-18T00:39:57.503182Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","receipt_version":"0.3","signature_b64":"7Vdy/PD/aJzG6PmXSHkQCS3flSG5H/uuXHeRG1l/GaakWkO7AzplU0RZorgjLzYtCvwSjAWAR3I9rVJ6yFnFDA==","signature_status":"signed_v1","signed_at":"2026-05-18T00:39:57.503911Z","signed_message":"canonical_sha256_bytes"},"source_id":"1707.06138","source_kind":"arxiv","source_version":1}}},"equivocations":[],"invalid_events":[],"applied_event_ids":["sha256:c1972f1d834b8bed9a5584eadc4ae5b05f16d0896c1dcb94e4a8a16e2f1721d9","sha256:74c73180a40d479258dd192981a0f54ae5f1d6b344fb14ef21e809f40fd05329"],"state_sha256":"819e23f01b9b14bd544c871c6e244c9d938658536671dfcf92ecfcb7d0d8e635"},"bundle_signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"WQtFvajoyrWMqAbFPazVFgJcEuMW0mbqrq5UUerQk3IYtG6DgHmVSEPQ5p2B5Qn2Kb53zW6r4fpAIUPLJK3QCQ==","signed_message":"bundle_sha256_bytes","signed_at":"2026-06-05T04:38:18.220776Z","bundle_sha256":"a493aa78f227cc0700acb73cfb4fbaef38746e5b5abcf6bbdb748996bb13ed6a"}}