{"record_type":"pith_number_record","schema_url":"https://pith.science/schemas/pith-number/v1.json","pith_number":"pith:2015:N4ZVHTP3WBX4WP7RH6THS3VWL4","short_pith_number":"pith:N4ZVHTP3","schema_version":"1.0","canonical_sha256":"6f3353cdfbb06fcb3ff13fa6796eb65f1ce968b71b4b091afecdbac41b127dae","source":{"kind":"arxiv","id":"1503.00019","version":2},"attestation_state":"computed","paper":{"title":"Error analysis in Fourier methods for option pricing","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"q-fin.PR","authors_text":"Fabi\\'an Crocce, Jonas Kiessling, Juho H\\\"app\\\"ol\\\"a, Ra\\'ul Tempone","submitted_at":"2015-02-27T21:44:31Z","abstract_excerpt":"We provide a bound for the error committed when using a Fourier method to price European options when the underlying follows an exponential \\levy dynamic. The price of the option is described by a partial integro-differential equation (PIDE). Applying a Fourier transformation to the PIDE yields an ordinary differential equation that can be solved analytically in terms of the characteristic exponent of the \\levy process. Then, a numerical inverse Fourier transform allows us to obtain the option price. We present a novel bound for the error and use this bound to set the parameters for the numeri"},"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":"1503.00019","kind":"arxiv","version":2},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PR","submitted_at":"2015-02-27T21:44:31Z","cross_cats_sorted":[],"title_canon_sha256":"39e7ad683ccfc4e2b727ea93580859262f5c88a9d602cdf7e5d0397dcb824a13","abstract_canon_sha256":"f87e0be006b42b00060c278692e9209f1818e9e7ed6218467fd5c7cd32877cdf"},"schema_version":"1.0"},"receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-05-18T01:25:47.267638Z","signature_b64":"USqNLeOpuZXyPGb8jK/wEBDesPa75QScDc6zN2P6gPw4cVFufrO9Mxazx4yZsrJa5QXzcy6YczVxOd6P1LHwBA==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"6f3353cdfbb06fcb3ff13fa6796eb65f1ce968b71b4b091afecdbac41b127dae","last_reissued_at":"2026-05-18T01:25:47.267194Z","signature_status":"signed_v1","first_computed_at":"2026-05-18T01:25:47.267194Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"graph_snapshot":{"paper":{"title":"Error analysis in Fourier methods for option pricing","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"q-fin.PR","authors_text":"Fabi\\'an Crocce, Jonas Kiessling, Juho H\\\"app\\\"ol\\\"a, Ra\\'ul Tempone","submitted_at":"2015-02-27T21:44:31Z","abstract_excerpt":"We provide a bound for the error committed when using a Fourier method to price European options when the underlying follows an exponential \\levy dynamic. The price of the option is described by a partial integro-differential equation (PIDE). Applying a Fourier transformation to the PIDE yields an ordinary differential equation that can be solved analytically in terms of the characteristic exponent of the \\levy process. Then, a numerical inverse Fourier transform allows us to obtain the option price. We present a novel bound for the error and use this bound to set the parameters for the numeri"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1503.00019","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":""},"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":"1503.00019","created_at":"2026-05-18T01:25:47.267258+00:00"},{"alias_kind":"arxiv_version","alias_value":"1503.00019v2","created_at":"2026-05-18T01:25:47.267258+00:00"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1503.00019","created_at":"2026-05-18T01:25:47.267258+00:00"},{"alias_kind":"pith_short_12","alias_value":"N4ZVHTP3WBX4","created_at":"2026-05-18T12:29:32.376354+00:00"},{"alias_kind":"pith_short_16","alias_value":"N4ZVHTP3WBX4WP7R","created_at":"2026-05-18T12:29:32.376354+00:00"},{"alias_kind":"pith_short_8","alias_value":"N4ZVHTP3","created_at":"2026-05-18T12:29:32.376354+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/N4ZVHTP3WBX4WP7RH6THS3VWL4","json":"https://pith.science/pith/N4ZVHTP3WBX4WP7RH6THS3VWL4.json","graph_json":"https://pith.science/api/pith-number/N4ZVHTP3WBX4WP7RH6THS3VWL4/graph.json","events_json":"https://pith.science/api/pith-number/N4ZVHTP3WBX4WP7RH6THS3VWL4/events.json","paper":"https://pith.science/paper/N4ZVHTP3"},"agent_actions":{"view_html":"https://pith.science/pith/N4ZVHTP3WBX4WP7RH6THS3VWL4","download_json":"https://pith.science/pith/N4ZVHTP3WBX4WP7RH6THS3VWL4.json","view_paper":"https://pith.science/paper/N4ZVHTP3","resolve_alias":"https://pith.science/api/pith-number/resolve?arxiv=1503.00019&json=true","fetch_graph":"https://pith.science/api/pith-number/N4ZVHTP3WBX4WP7RH6THS3VWL4/graph.json","fetch_events":"https://pith.science/api/pith-number/N4ZVHTP3WBX4WP7RH6THS3VWL4/events.json","actions":{"anchor_timestamp":"https://pith.science/pith/N4ZVHTP3WBX4WP7RH6THS3VWL4/action/timestamp_anchor","attest_storage":"https://pith.science/pith/N4ZVHTP3WBX4WP7RH6THS3VWL4/action/storage_attestation","attest_author":"https://pith.science/pith/N4ZVHTP3WBX4WP7RH6THS3VWL4/action/author_attestation","sign_citation":"https://pith.science/pith/N4ZVHTP3WBX4WP7RH6THS3VWL4/action/citation_signature","submit_replication":"https://pith.science/pith/N4ZVHTP3WBX4WP7RH6THS3VWL4/action/replication_record"}},"created_at":"2026-05-18T01:25:47.267258+00:00","updated_at":"2026-05-18T01:25:47.267258+00:00"}