{"bundle_type":"pith_open_graph_bundle","bundle_version":"1.0","pith_number":"pith:2019:OKPPHHV52BQXEXG77CPQEV2BY6","short_pith_number":"pith:OKPPHHV5","canonical_record":{"source":{"id":"1904.12260","kind":"arxiv","version":1},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.MF","submitted_at":"2019-04-28T05:24:35Z","cross_cats_sorted":[],"title_canon_sha256":"876f75c3986f203ed9570cc7740d6fa0739932d87a0fc8e0ac5cb12a00394914","abstract_canon_sha256":"575efc8412e97c8e68e37a00eac04a228ac6c25e1f046ceb648a04120dbd0e2e"},"schema_version":"1.0"},"canonical_sha256":"729ef39ebdd061725cdff89f025741c7997d68dfbcf03cf3bc616a275463fe1c","source":{"kind":"arxiv","id":"1904.12260","version":1},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1904.12260","created_at":"2026-05-17T23:47:36Z"},{"alias_kind":"arxiv_version","alias_value":"1904.12260v1","created_at":"2026-05-17T23:47:36Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1904.12260","created_at":"2026-05-17T23:47:36Z"},{"alias_kind":"pith_short_12","alias_value":"OKPPHHV52BQX","created_at":"2026-05-18T12:33:24Z"},{"alias_kind":"pith_short_16","alias_value":"OKPPHHV52BQXEXG7","created_at":"2026-05-18T12:33:24Z"},{"alias_kind":"pith_short_8","alias_value":"OKPPHHV5","created_at":"2026-05-18T12:33:24Z"}],"events":[{"event_type":"record_created","subject_pith_number":"pith:2019:OKPPHHV52BQXEXG77CPQEV2BY6","target":"record","payload":{"canonical_record":{"source":{"id":"1904.12260","kind":"arxiv","version":1},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.MF","submitted_at":"2019-04-28T05:24:35Z","cross_cats_sorted":[],"title_canon_sha256":"876f75c3986f203ed9570cc7740d6fa0739932d87a0fc8e0ac5cb12a00394914","abstract_canon_sha256":"575efc8412e97c8e68e37a00eac04a228ac6c25e1f046ceb648a04120dbd0e2e"},"schema_version":"1.0"},"canonical_sha256":"729ef39ebdd061725cdff89f025741c7997d68dfbcf03cf3bc616a275463fe1c","receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-05-17T23:47:36.915527Z","signature_b64":"XNMS7QusxgY7n5fi6KL8QRb3CVWhO1uiwKhOcTKGoOz1kpGGCgkEmIdPTd2PGI8RKWFtAIxyiOE6FeYI7WIQAQ==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"729ef39ebdd061725cdff89f025741c7997d68dfbcf03cf3bc616a275463fe1c","last_reissued_at":"2026-05-17T23:47:36.915030Z","signature_status":"signed_v1","first_computed_at":"2026-05-17T23:47:36.915030Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"source_kind":"arxiv","source_id":"1904.12260","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":"2026-05-17T23:47:36Z","supersedes":[],"prev_event":null,"signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"SpWCSSWGwjwi1BccW9c2JQ5H7PjugEKR+jpMoVYxmwrlN1y1sKyECeFMZB6AB5h475Y8LOABH82YyM1WLdpaAA==","signed_message":"open_graph_event_sha256_bytes","signed_at":"2026-06-04T06:20:10.699948Z"},"content_sha256":"eb0f92ac26244238d23da9e47effaf3948434ddc490704b8e6af9fd89e1e84c7","schema_version":"1.0","event_id":"sha256:eb0f92ac26244238d23da9e47effaf3948434ddc490704b8e6af9fd89e1e84c7"},{"event_type":"graph_snapshot","subject_pith_number":"pith:2019:OKPPHHV52BQXEXG77CPQEV2BY6","target":"graph","payload":{"graph_snapshot":{"paper":{"title":"Pricing and hedging of VIX options for Barndorff-Nielsen and Shephard models","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"q-fin.MF","authors_text":"Takuji Arai","submitted_at":"2019-04-28T05:24:35Z","abstract_excerpt":"The VIX call options for the Barndorff-Nielsen and Shephard models will be discussed. Derivatives written on the VIX, which is the most popular volatility measurement, have been traded actively very much. In this paper, we give representations of the VIX call option price for the Barndorff-Nielsen and Shephard models: non-Gaussian Ornstein--Uhlenbeck type stochastic volatility models. Moreover, we provide representations of the locally risk-minimizing strategy constructed by a combination of the underlying riskless and risky assets. Remark that the representations obtained in this paper are ef"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1904.12260","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":"2026-05-17T23:47:36Z","supersedes":[],"prev_event":null,"signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"67WSJl1wJeffgGIvtqoIRZcOfRh+qtpxHvNuDtksHo8qDw4gI98tijELia3ADZXA9WZmHx5ONAvdOV9axxDqDw==","signed_message":"open_graph_event_sha256_bytes","signed_at":"2026-06-04T06:20:10.700292Z"},"content_sha256":"0f2a2d45f4dd47640c848e490cd90accbdbb201604d1441e0229d9aaaf9dbc3c","schema_version":"1.0","event_id":"sha256:0f2a2d45f4dd47640c848e490cd90accbdbb201604d1441e0229d9aaaf9dbc3c"}],"timestamp_proofs":[],"mirror_hints":[{"mirror_type":"https","name":"Pith Resolver","base_url":"https://pith.science","bundle_url":"https://pith.science/pith/OKPPHHV52BQXEXG77CPQEV2BY6/bundle.json","state_url":"https://pith.science/pith/OKPPHHV52BQXEXG77CPQEV2BY6/state.json","well_known_bundle_url":"https://pith.science/.well-known/pith/OKPPHHV52BQXEXG77CPQEV2BY6/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":"2026-06-04T06:20:10Z","links":{"resolver":"https://pith.science/pith/OKPPHHV52BQXEXG77CPQEV2BY6","bundle":"https://pith.science/pith/OKPPHHV52BQXEXG77CPQEV2BY6/bundle.json","state":"https://pith.science/pith/OKPPHHV52BQXEXG77CPQEV2BY6/state.json","well_known_bundle":"https://pith.science/.well-known/pith/OKPPHHV52BQXEXG77CPQEV2BY6/bundle.json"},"state":{"state_type":"pith_open_graph_state","state_version":"1.0","pith_number":"pith:2019:OKPPHHV52BQXEXG77CPQEV2BY6","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":"575efc8412e97c8e68e37a00eac04a228ac6c25e1f046ceb648a04120dbd0e2e","cross_cats_sorted":[],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.MF","submitted_at":"2019-04-28T05:24:35Z","title_canon_sha256":"876f75c3986f203ed9570cc7740d6fa0739932d87a0fc8e0ac5cb12a00394914"},"schema_version":"1.0","source":{"id":"1904.12260","kind":"arxiv","version":1}},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1904.12260","created_at":"2026-05-17T23:47:36Z"},{"alias_kind":"arxiv_version","alias_value":"1904.12260v1","created_at":"2026-05-17T23:47:36Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1904.12260","created_at":"2026-05-17T23:47:36Z"},{"alias_kind":"pith_short_12","alias_value":"OKPPHHV52BQX","created_at":"2026-05-18T12:33:24Z"},{"alias_kind":"pith_short_16","alias_value":"OKPPHHV52BQXEXG7","created_at":"2026-05-18T12:33:24Z"},{"alias_kind":"pith_short_8","alias_value":"OKPPHHV5","created_at":"2026-05-18T12:33:24Z"}],"graph_snapshots":[{"event_id":"sha256:0f2a2d45f4dd47640c848e490cd90accbdbb201604d1441e0229d9aaaf9dbc3c","target":"graph","created_at":"2026-05-17T23:47:36Z","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":"The VIX call options for the Barndorff-Nielsen and Shephard models will be discussed. Derivatives written on the VIX, which is the most popular volatility measurement, have been traded actively very much. In this paper, we give representations of the VIX call option price for the Barndorff-Nielsen and Shephard models: non-Gaussian Ornstein--Uhlenbeck type stochastic volatility models. Moreover, we provide representations of the locally risk-minimizing strategy constructed by a combination of the underlying riskless and risky assets. Remark that the representations obtained in this paper are ef","authors_text":"Takuji Arai","cross_cats":[],"headline":"","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.MF","submitted_at":"2019-04-28T05:24:35Z","title":"Pricing and hedging of VIX options for Barndorff-Nielsen and Shephard models"},"references":{"count":0,"internal_anchors":0,"resolved_work":0,"sample":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1904.12260","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:eb0f92ac26244238d23da9e47effaf3948434ddc490704b8e6af9fd89e1e84c7","target":"record","created_at":"2026-05-17T23:47:36Z","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":"575efc8412e97c8e68e37a00eac04a228ac6c25e1f046ceb648a04120dbd0e2e","cross_cats_sorted":[],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.MF","submitted_at":"2019-04-28T05:24:35Z","title_canon_sha256":"876f75c3986f203ed9570cc7740d6fa0739932d87a0fc8e0ac5cb12a00394914"},"schema_version":"1.0","source":{"id":"1904.12260","kind":"arxiv","version":1}},"canonical_sha256":"729ef39ebdd061725cdff89f025741c7997d68dfbcf03cf3bc616a275463fe1c","receipt":{"algorithm":"ed25519","builder_version":"pith-number-builder-2026-05-17-v1","canonical_sha256":"729ef39ebdd061725cdff89f025741c7997d68dfbcf03cf3bc616a275463fe1c","first_computed_at":"2026-05-17T23:47:36.915030Z","key_id":"pith-v1-2026-05","kind":"pith_receipt","last_reissued_at":"2026-05-17T23:47:36.915030Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","receipt_version":"0.3","signature_b64":"XNMS7QusxgY7n5fi6KL8QRb3CVWhO1uiwKhOcTKGoOz1kpGGCgkEmIdPTd2PGI8RKWFtAIxyiOE6FeYI7WIQAQ==","signature_status":"signed_v1","signed_at":"2026-05-17T23:47:36.915527Z","signed_message":"canonical_sha256_bytes"},"source_id":"1904.12260","source_kind":"arxiv","source_version":1}}},"equivocations":[],"invalid_events":[],"applied_event_ids":["sha256:eb0f92ac26244238d23da9e47effaf3948434ddc490704b8e6af9fd89e1e84c7","sha256:0f2a2d45f4dd47640c848e490cd90accbdbb201604d1441e0229d9aaaf9dbc3c"],"state_sha256":"521223fc08389d9c70355145173fb8f85f60e7c0f82108ca169ee3b56b9f68d5"},"bundle_signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"3n9af/U1KHKk5II7QhwuTJn7X/1+UGz3ia1YOK6N0IyCu/NU94nkQM62tt0eUJyF3YJqYS5ZyCwe9WS/Gte4Ag==","signed_message":"bundle_sha256_bytes","signed_at":"2026-06-04T06:20:10.702271Z","bundle_sha256":"1263a41b002ac536b7e72128ec00469235793a0effc875f9167bc6fabbda6929"}}