{"state_type":"pith_open_graph_state","state_version":"1.0","pith_number":"pith:2014:LFIFQMNVXFY33YOCAKAN5QIJT3","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":"e977109db8baabb95b84e58dc0e7289f25ff4156f58e5b526c128432e74f13ec","cross_cats_sorted":[],"license":"http://creativecommons.org/licenses/by/3.0/","primary_cat":"q-fin.MF","submitted_at":"2014-04-17T21:50:48Z","title_canon_sha256":"becfddfed24979f15eb8c453c41e1aa03bb27e6ff9c9fb447561e5e2138e51cc"},"schema_version":"1.0","source":{"id":"1404.4659","kind":"arxiv","version":1}},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1404.4659","created_at":"2026-05-18T02:53:55Z"},{"alias_kind":"arxiv_version","alias_value":"1404.4659v1","created_at":"2026-05-18T02:53:55Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1404.4659","created_at":"2026-05-18T02:53:55Z"},{"alias_kind":"pith_short_12","alias_value":"LFIFQMNVXFY3","created_at":"2026-05-18T12:28:38Z"},{"alias_kind":"pith_short_16","alias_value":"LFIFQMNVXFY33YOC","created_at":"2026-05-18T12:28:38Z"},{"alias_kind":"pith_short_8","alias_value":"LFIFQMNV","created_at":"2026-05-18T12:28:38Z"}],"graph_snapshots":[{"event_id":"sha256:59836db7eec3a47344064c80545e646738b1f4a31a2662cc3d1cfe8a4dd09b58","target":"graph","created_at":"2026-05-18T02:53:55Z","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 discuss modelling of SPX and DAX index option prices using the Shifted Log-Normal (SLN) model, (also known as Displaced Diffusion), and the SABR model. We found out that for SPX options, an example of strongly skewed option prices, SLN can produce a quite accurate fit. Moreover, for both types of index options, the SLN model is giving a good fit of near-at-the-forward strikes. Such a near-at-the-money fit allows us to calculate precisely the skew parameter without involving directly the 3rd moment of the related probability distribution. Eventually, we can follow with a procedure in which t","authors_text":"Doinita Negru, Jan Kuklinski, Pawel Pliszka","cross_cats":[],"headline":"","license":"http://creativecommons.org/licenses/by/3.0/","primary_cat":"q-fin.MF","submitted_at":"2014-04-17T21:50:48Z","title":"Modelling the skew and smile of SPX and DAX index options using the Shifted Log-Normal and SABR stochastic models"},"references":{"count":0,"internal_anchors":0,"resolved_work":0,"sample":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1404.4659","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":"sha256:6bd0539faa0f7e7f1b035db8ca3158facd01f77482342bbfc8a07f6f4e8e39c2","target":"record","created_at":"2026-05-18T02:53:55Z","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":"e977109db8baabb95b84e58dc0e7289f25ff4156f58e5b526c128432e74f13ec","cross_cats_sorted":[],"license":"http://creativecommons.org/licenses/by/3.0/","primary_cat":"q-fin.MF","submitted_at":"2014-04-17T21:50:48Z","title_canon_sha256":"becfddfed24979f15eb8c453c41e1aa03bb27e6ff9c9fb447561e5e2138e51cc"},"schema_version":"1.0","source":{"id":"1404.4659","kind":"arxiv","version":1}},"canonical_sha256":"59505831b5b971bde1c20280dec1099ed31cfe6b83f2d08a7e2caf7afc663dcf","receipt":{"algorithm":"ed25519","builder_version":"pith-number-builder-2026-05-17-v1","canonical_sha256":"59505831b5b971bde1c20280dec1099ed31cfe6b83f2d08a7e2caf7afc663dcf","first_computed_at":"2026-05-18T02:53:55.526565Z","key_id":"pith-v1-2026-05","kind":"pith_receipt","last_reissued_at":"2026-05-18T02:53:55.526565Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","receipt_version":"0.3","signature_b64":"dQrI2RhtN7MAGo9uz8L88gGrwuaKKTQDkz8JB1mvR39TJ0SZ/WZy5R+HU0SuGOQywIRC4GPup2pQPpLrjRnuDA==","signature_status":"signed_v1","signed_at":"2026-05-18T02:53:55.527605Z","signed_message":"canonical_sha256_bytes"},"source_id":"1404.4659","source_kind":"arxiv","source_version":1}}},"equivocations":[],"invalid_events":[],"applied_event_ids":["sha256:6bd0539faa0f7e7f1b035db8ca3158facd01f77482342bbfc8a07f6f4e8e39c2","sha256:59836db7eec3a47344064c80545e646738b1f4a31a2662cc3d1cfe8a4dd09b58"],"state_sha256":"4157a08f50890a7046e42d89b1680d05b9b8da88e6643c2c86622b6950cc7935"}