{"bundle_type":"pith_open_graph_bundle","bundle_version":"1.0","pith_number":"pith:2005:KKYT7ZDZ7RNNY7R5P4GQSWBEYO","short_pith_number":"pith:KKYT7ZDZ","canonical_record":{"source":{"id":"physics/0503137","kind":"arxiv","version":2},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"physics.soc-ph","submitted_at":"2005-03-16T16:06:19Z","cross_cats_sorted":["q-fin.PR"],"title_canon_sha256":"ecaeddaa0b68bcae4eddb9510d048715fead8beeaecdb424de55741f353010ed","abstract_canon_sha256":"55ea7db8c7f6219dddba596fedc338540740ff7e20222bafff2c6a1a403b8de1"},"schema_version":"1.0"},"canonical_sha256":"52b13fe479fc5adc7e3d7f0d095824c38ce9a4bdbb657f8caae0e6f9dad3eed7","source":{"kind":"arxiv","id":"physics/0503137","version":2},"source_aliases":[{"alias_kind":"arxiv","alias_value":"physics/0503137","created_at":"2026-07-04T17:19:37Z"},{"alias_kind":"arxiv_version","alias_value":"physics/0503137v2","created_at":"2026-07-04T17:19:37Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.physics/0503137","created_at":"2026-07-04T17:19:37Z"},{"alias_kind":"pith_short_12","alias_value":"KKYT7ZDZ7RNN","created_at":"2026-07-04T17:19:37Z"},{"alias_kind":"pith_short_16","alias_value":"KKYT7ZDZ7RNNY7R5","created_at":"2026-07-04T17:19:37Z"},{"alias_kind":"pith_short_8","alias_value":"KKYT7ZDZ","created_at":"2026-07-04T17:19:37Z"}],"events":[{"event_type":"record_created","subject_pith_number":"pith:2005:KKYT7ZDZ7RNNY7R5P4GQSWBEYO","target":"record","payload":{"canonical_record":{"source":{"id":"physics/0503137","kind":"arxiv","version":2},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"physics.soc-ph","submitted_at":"2005-03-16T16:06:19Z","cross_cats_sorted":["q-fin.PR"],"title_canon_sha256":"ecaeddaa0b68bcae4eddb9510d048715fead8beeaecdb424de55741f353010ed","abstract_canon_sha256":"55ea7db8c7f6219dddba596fedc338540740ff7e20222bafff2c6a1a403b8de1"},"schema_version":"1.0"},"canonical_sha256":"52b13fe479fc5adc7e3d7f0d095824c38ce9a4bdbb657f8caae0e6f9dad3eed7","receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-07-04T17:19:37.547023Z","signature_b64":"WFVKo00ZlwOhgn03ara/VbqzMyl9pyzk269BjlyzDWSJqxIYFFH9IArdciDC6Z/O4GrM8y3Nuk+ytjMR6ffIBg==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"52b13fe479fc5adc7e3d7f0d095824c38ce9a4bdbb657f8caae0e6f9dad3eed7","last_reissued_at":"2026-07-04T17:19:37.546640Z","signature_status":"signed_v1","first_computed_at":"2026-07-04T17:19:37.546640Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"source_kind":"arxiv","source_id":"physics/0503137","source_version":2,"attestation_state":"computed"},"signer":{"signer_id":"pith.science","signer_type":"pith_registry","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"created_at":"2026-07-04T17:19:37Z","supersedes":[],"prev_event":null,"signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"eBNCESAKtLbYsmBs1WXB2Lk30lL/O1B8kq3+QeiTghYH1GerBC3FV+QyIh0rIY7dOf2QL18FbnMjcPvJgETDAQ==","signed_message":"open_graph_event_sha256_bytes","signed_at":"2026-08-04T17:23:21.737233Z"},"content_sha256":"9f5b7a866e6ec3bac3d4bceef80f2c4c4d35ad325ce7cb82c9194971ae1af61d","schema_version":"1.0","event_id":"sha256:9f5b7a866e6ec3bac3d4bceef80f2c4c4d35ad325ce7cb82c9194971ae1af61d"},{"event_type":"graph_snapshot","subject_pith_number":"pith:2005:KKYT7ZDZ7RNNY7R5P4GQSWBEYO","target":"graph","payload":{"graph_snapshot":{"paper":{"title":"Pricing options with VG model using FFT","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["q-fin.PR"],"primary_cat":"physics.soc-ph","authors_text":"Andrey Itkin","submitted_at":"2005-03-16T16:06:19Z","abstract_excerpt":"We discuss various analytic and numerical methods that have been used to get option prices within a framework of the VG model. We show that some popular methods, for instance, Carr-Madan's FFT method could blow up for certain values of the model parameters even for an European vanilla option. Alternative methods - one originally proposed by Lewis, and Black-Scholes-wise method are considered that seem to work fine for any value of the VG parameters. Test examples are given to demonstrate efficiency of these methods. Convergency of all methods is also discussed.}"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"physics/0503137","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":""},"integrity":{"clean":true,"summary":{"advisory":0,"critical":0,"by_detector":{},"informational":0},"endpoint":"/pith/physics/0503137/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":"2026-07-04T17:19:37Z","supersedes":[],"prev_event":null,"signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"qUZfPDS+v4oqv27up8LXNgp0XJNZ7WPyKSDsgTFV6OFg1xRet/Jx8ZqC002eaa5hP0sTON8/ulOB+VKjIG0DAg==","signed_message":"open_graph_event_sha256_bytes","signed_at":"2026-08-04T17:23:21.737788Z"},"content_sha256":"dadcb6d2c636920819b5f7b3ace2727ee4ae2b7a6e3ed7189d6104a1c946704d","schema_version":"1.0","event_id":"sha256:dadcb6d2c636920819b5f7b3ace2727ee4ae2b7a6e3ed7189d6104a1c946704d"}],"timestamp_proofs":[],"mirror_hints":[{"mirror_type":"https","name":"Pith Resolver","base_url":"https://pith.science","bundle_url":"https://pith.science/pith/KKYT7ZDZ7RNNY7R5P4GQSWBEYO/bundle.json","state_url":"https://pith.science/pith/KKYT7ZDZ7RNNY7R5P4GQSWBEYO/state.json","well_known_bundle_url":"https://pith.science/.well-known/pith/KKYT7ZDZ7RNNY7R5P4GQSWBEYO/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":"2026-08-04T17:23:21Z","links":{"resolver":"https://pith.science/pith/KKYT7ZDZ7RNNY7R5P4GQSWBEYO","bundle":"https://pith.science/pith/KKYT7ZDZ7RNNY7R5P4GQSWBEYO/bundle.json","state":"https://pith.science/pith/KKYT7ZDZ7RNNY7R5P4GQSWBEYO/state.json","well_known_bundle":"https://pith.science/.well-known/pith/KKYT7ZDZ7RNNY7R5P4GQSWBEYO/bundle.json"},"state":{"state_type":"pith_open_graph_state","state_version":"1.0","pith_number":"pith:2005:KKYT7ZDZ7RNNY7R5P4GQSWBEYO","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":"55ea7db8c7f6219dddba596fedc338540740ff7e20222bafff2c6a1a403b8de1","cross_cats_sorted":["q-fin.PR"],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"physics.soc-ph","submitted_at":"2005-03-16T16:06:19Z","title_canon_sha256":"ecaeddaa0b68bcae4eddb9510d048715fead8beeaecdb424de55741f353010ed"},"schema_version":"1.0","source":{"id":"physics/0503137","kind":"arxiv","version":2}},"source_aliases":[{"alias_kind":"arxiv","alias_value":"physics/0503137","created_at":"2026-07-04T17:19:37Z"},{"alias_kind":"arxiv_version","alias_value":"physics/0503137v2","created_at":"2026-07-04T17:19:37Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.physics/0503137","created_at":"2026-07-04T17:19:37Z"},{"alias_kind":"pith_short_12","alias_value":"KKYT7ZDZ7RNN","created_at":"2026-07-04T17:19:37Z"},{"alias_kind":"pith_short_16","alias_value":"KKYT7ZDZ7RNNY7R5","created_at":"2026-07-04T17:19:37Z"},{"alias_kind":"pith_short_8","alias_value":"KKYT7ZDZ","created_at":"2026-07-04T17:19:37Z"}],"graph_snapshots":[{"event_id":"sha256:dadcb6d2c636920819b5f7b3ace2727ee4ae2b7a6e3ed7189d6104a1c946704d","target":"graph","created_at":"2026-07-04T17:19:37Z","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/physics/0503137/integrity.json","findings":[],"snapshot_sha256":"c28c3603d3b5d939e8dc4c7e95fa8dfce3d595e45f758748cecf8e644a296938","summary":{"advisory":0,"by_detector":{},"critical":0,"informational":0}},"paper":{"abstract_excerpt":"We discuss various analytic and numerical methods that have been used to get option prices within a framework of the VG model. We show that some popular methods, for instance, Carr-Madan's FFT method could blow up for certain values of the model parameters even for an European vanilla option. Alternative methods - one originally proposed by Lewis, and Black-Scholes-wise method are considered that seem to work fine for any value of the VG parameters. Test examples are given to demonstrate efficiency of these methods. Convergency of all methods is also discussed.}","authors_text":"Andrey Itkin","cross_cats":["q-fin.PR"],"headline":"","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"physics.soc-ph","submitted_at":"2005-03-16T16:06:19Z","title":"Pricing options with VG model using FFT"},"references":{"count":0,"internal_anchors":0,"resolved_work":0,"sample":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"physics/0503137","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":"sha256:9f5b7a866e6ec3bac3d4bceef80f2c4c4d35ad325ce7cb82c9194971ae1af61d","target":"record","created_at":"2026-07-04T17:19:37Z","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":"55ea7db8c7f6219dddba596fedc338540740ff7e20222bafff2c6a1a403b8de1","cross_cats_sorted":["q-fin.PR"],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"physics.soc-ph","submitted_at":"2005-03-16T16:06:19Z","title_canon_sha256":"ecaeddaa0b68bcae4eddb9510d048715fead8beeaecdb424de55741f353010ed"},"schema_version":"1.0","source":{"id":"physics/0503137","kind":"arxiv","version":2}},"canonical_sha256":"52b13fe479fc5adc7e3d7f0d095824c38ce9a4bdbb657f8caae0e6f9dad3eed7","receipt":{"algorithm":"ed25519","builder_version":"pith-number-builder-2026-05-17-v1","canonical_sha256":"52b13fe479fc5adc7e3d7f0d095824c38ce9a4bdbb657f8caae0e6f9dad3eed7","first_computed_at":"2026-07-04T17:19:37.546640Z","key_id":"pith-v1-2026-05","kind":"pith_receipt","last_reissued_at":"2026-07-04T17:19:37.546640Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","receipt_version":"0.3","signature_b64":"WFVKo00ZlwOhgn03ara/VbqzMyl9pyzk269BjlyzDWSJqxIYFFH9IArdciDC6Z/O4GrM8y3Nuk+ytjMR6ffIBg==","signature_status":"signed_v1","signed_at":"2026-07-04T17:19:37.547023Z","signed_message":"canonical_sha256_bytes"},"source_id":"physics/0503137","source_kind":"arxiv","source_version":2}}},"equivocations":[],"invalid_events":[],"applied_event_ids":["sha256:9f5b7a866e6ec3bac3d4bceef80f2c4c4d35ad325ce7cb82c9194971ae1af61d","sha256:dadcb6d2c636920819b5f7b3ace2727ee4ae2b7a6e3ed7189d6104a1c946704d"],"state_sha256":"dbe075f20945d0f71723de1b16f2c09ae8f583c90d1dd4a2ad4e9221551eae8f"},"bundle_signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"FmyJF+h0e3BUC3B4bXW7Ev5PplgacPBycNVjFO/mUWkUlQYlZqSA9xW95QZS0LmPf7ql51E0xacZEec4jS3CAg==","signed_message":"bundle_sha256_bytes","signed_at":"2026-08-04T17:23:21.743010Z","bundle_sha256":"2d799644e577ee828b3ecaf523b4fad7220fa96804360af15912b581e2c4d511"}}