{"bundle_type":"pith_open_graph_bundle","bundle_version":"1.0","pith_number":"pith:2016:OWURNE44BFLHFGOO54HPM67GXW","short_pith_number":"pith:OWURNE44","canonical_record":{"source":{"id":"1605.07099","kind":"arxiv","version":4},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.MF","submitted_at":"2016-05-23T17:14:19Z","cross_cats_sorted":["q-fin.CP"],"title_canon_sha256":"620309246fdfe1cf13d45aeb2ac05eae2fa7682d3ebab4176ebdc1768573cad8","abstract_canon_sha256":"55ab9a8773a779c115c174b944db656205d722dd45776acbcc9821d5c2ac1433"},"schema_version":"1.0"},"canonical_sha256":"75a916939c09567299ceef0ef67be6bd87c25e04f4a86f0d44379c56d32fab7e","source":{"kind":"arxiv","id":"1605.07099","version":4},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1605.07099","created_at":"2026-05-18T00:02:02Z"},{"alias_kind":"arxiv_version","alias_value":"1605.07099v4","created_at":"2026-05-18T00:02:02Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1605.07099","created_at":"2026-05-18T00:02:02Z"},{"alias_kind":"pith_short_12","alias_value":"OWURNE44BFLH","created_at":"2026-05-18T12:30:36Z"},{"alias_kind":"pith_short_16","alias_value":"OWURNE44BFLHFGOO","created_at":"2026-05-18T12:30:36Z"},{"alias_kind":"pith_short_8","alias_value":"OWURNE44","created_at":"2026-05-18T12:30:36Z"}],"events":[{"event_type":"record_created","subject_pith_number":"pith:2016:OWURNE44BFLHFGOO54HPM67GXW","target":"record","payload":{"canonical_record":{"source":{"id":"1605.07099","kind":"arxiv","version":4},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.MF","submitted_at":"2016-05-23T17:14:19Z","cross_cats_sorted":["q-fin.CP"],"title_canon_sha256":"620309246fdfe1cf13d45aeb2ac05eae2fa7682d3ebab4176ebdc1768573cad8","abstract_canon_sha256":"55ab9a8773a779c115c174b944db656205d722dd45776acbcc9821d5c2ac1433"},"schema_version":"1.0"},"canonical_sha256":"75a916939c09567299ceef0ef67be6bd87c25e04f4a86f0d44379c56d32fab7e","receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-05-18T00:02:02.383190Z","signature_b64":"mZRQWRUL1L8bjG4xX5zLsfl+51Hd8hRVCx8rzz7OaF/DMr19P0q/9VwLvo0FO2TBc0xpVxx/96u+a1pRyUuzBA==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"75a916939c09567299ceef0ef67be6bd87c25e04f4a86f0d44379c56d32fab7e","last_reissued_at":"2026-05-18T00:02:02.382785Z","signature_status":"signed_v1","first_computed_at":"2026-05-18T00:02:02.382785Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"source_kind":"arxiv","source_id":"1605.07099","source_version":4,"attestation_state":"computed"},"signer":{"signer_id":"pith.science","signer_type":"pith_registry","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"created_at":"2026-05-18T00:02:02Z","supersedes":[],"prev_event":null,"signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"zJCRfi9PLiL5Oc5dveE2gv8YBEH6Wh1D4bneb+WhGbYd3/JzmCoV2DLVQKrjbfAZxm3WdJ93i9FSiHg48n2lBg==","signed_message":"open_graph_event_sha256_bytes","signed_at":"2026-05-21T15:01:43.133167Z"},"content_sha256":"a4188535439412660c71414d20df5587a4f3184c7887968359ace608c1fce03e","schema_version":"1.0","event_id":"sha256:a4188535439412660c71414d20df5587a4f3184c7887968359ace608c1fce03e"},{"event_type":"graph_snapshot","subject_pith_number":"pith:2016:OWURNE44BFLHFGOO54HPM67GXW","target":"graph","payload":{"graph_snapshot":{"paper":{"title":"The Jacobi Stochastic Volatility Model","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["q-fin.CP"],"primary_cat":"q-fin.MF","authors_text":"Damien Ackerer, Damir Filipovi\\'c, Sergio Pulido","submitted_at":"2016-05-23T17:14:19Z","abstract_excerpt":"We introduce a novel stochastic volatility model where the squared volatility of the asset return follows a Jacobi process. It contains the Heston model as a limit case. We show that the joint density of any finite sequence of log returns admits a Gram-Charlier A expansion with closed-form coefficients. We derive closed-form series representations for option prices whose discounted payoffs are functions of the asset price trajectory at finitely many time points. This includes European call, put, and digital options, forward start options, and can be applied to discretely monitored Asian option"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1605.07099","kind":"arxiv","version":4},"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":"2026-05-18T00:02:02Z","supersedes":[],"prev_event":null,"signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"XlSk82Qahh+kmnpb8bCNeviQUT92rbatboeD0soKrvy+nEZBi6CkKyUEhSXTe9WRDQaP2KAsEojzPx0k/AlQBw==","signed_message":"open_graph_event_sha256_bytes","signed_at":"2026-05-21T15:01:43.133825Z"},"content_sha256":"751996b8e16aa85ac59e0afeec62a6217f488681ed99f91177c1ac71e6d3ae5f","schema_version":"1.0","event_id":"sha256:751996b8e16aa85ac59e0afeec62a6217f488681ed99f91177c1ac71e6d3ae5f"}],"timestamp_proofs":[],"mirror_hints":[{"mirror_type":"https","name":"Pith Resolver","base_url":"https://pith.science","bundle_url":"https://pith.science/pith/OWURNE44BFLHFGOO54HPM67GXW/bundle.json","state_url":"https://pith.science/pith/OWURNE44BFLHFGOO54HPM67GXW/state.json","well_known_bundle_url":"https://pith.science/.well-known/pith/OWURNE44BFLHFGOO54HPM67GXW/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":"2026-05-21T15:01:43Z","links":{"resolver":"https://pith.science/pith/OWURNE44BFLHFGOO54HPM67GXW","bundle":"https://pith.science/pith/OWURNE44BFLHFGOO54HPM67GXW/bundle.json","state":"https://pith.science/pith/OWURNE44BFLHFGOO54HPM67GXW/state.json","well_known_bundle":"https://pith.science/.well-known/pith/OWURNE44BFLHFGOO54HPM67GXW/bundle.json"},"state":{"state_type":"pith_open_graph_state","state_version":"1.0","pith_number":"pith:2016:OWURNE44BFLHFGOO54HPM67GXW","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":"55ab9a8773a779c115c174b944db656205d722dd45776acbcc9821d5c2ac1433","cross_cats_sorted":["q-fin.CP"],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.MF","submitted_at":"2016-05-23T17:14:19Z","title_canon_sha256":"620309246fdfe1cf13d45aeb2ac05eae2fa7682d3ebab4176ebdc1768573cad8"},"schema_version":"1.0","source":{"id":"1605.07099","kind":"arxiv","version":4}},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1605.07099","created_at":"2026-05-18T00:02:02Z"},{"alias_kind":"arxiv_version","alias_value":"1605.07099v4","created_at":"2026-05-18T00:02:02Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1605.07099","created_at":"2026-05-18T00:02:02Z"},{"alias_kind":"pith_short_12","alias_value":"OWURNE44BFLH","created_at":"2026-05-18T12:30:36Z"},{"alias_kind":"pith_short_16","alias_value":"OWURNE44BFLHFGOO","created_at":"2026-05-18T12:30:36Z"},{"alias_kind":"pith_short_8","alias_value":"OWURNE44","created_at":"2026-05-18T12:30:36Z"}],"graph_snapshots":[{"event_id":"sha256:751996b8e16aa85ac59e0afeec62a6217f488681ed99f91177c1ac71e6d3ae5f","target":"graph","created_at":"2026-05-18T00:02:02Z","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 introduce a novel stochastic volatility model where the squared volatility of the asset return follows a Jacobi process. It contains the Heston model as a limit case. We show that the joint density of any finite sequence of log returns admits a Gram-Charlier A expansion with closed-form coefficients. We derive closed-form series representations for option prices whose discounted payoffs are functions of the asset price trajectory at finitely many time points. This includes European call, put, and digital options, forward start options, and can be applied to discretely monitored Asian option","authors_text":"Damien Ackerer, Damir Filipovi\\'c, Sergio Pulido","cross_cats":["q-fin.CP"],"headline":"","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.MF","submitted_at":"2016-05-23T17:14:19Z","title":"The Jacobi Stochastic Volatility Model"},"references":{"count":0,"internal_anchors":0,"resolved_work":0,"sample":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1605.07099","kind":"arxiv","version":4},"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:a4188535439412660c71414d20df5587a4f3184c7887968359ace608c1fce03e","target":"record","created_at":"2026-05-18T00:02:02Z","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":"55ab9a8773a779c115c174b944db656205d722dd45776acbcc9821d5c2ac1433","cross_cats_sorted":["q-fin.CP"],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.MF","submitted_at":"2016-05-23T17:14:19Z","title_canon_sha256":"620309246fdfe1cf13d45aeb2ac05eae2fa7682d3ebab4176ebdc1768573cad8"},"schema_version":"1.0","source":{"id":"1605.07099","kind":"arxiv","version":4}},"canonical_sha256":"75a916939c09567299ceef0ef67be6bd87c25e04f4a86f0d44379c56d32fab7e","receipt":{"algorithm":"ed25519","builder_version":"pith-number-builder-2026-05-17-v1","canonical_sha256":"75a916939c09567299ceef0ef67be6bd87c25e04f4a86f0d44379c56d32fab7e","first_computed_at":"2026-05-18T00:02:02.382785Z","key_id":"pith-v1-2026-05","kind":"pith_receipt","last_reissued_at":"2026-05-18T00:02:02.382785Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","receipt_version":"0.3","signature_b64":"mZRQWRUL1L8bjG4xX5zLsfl+51Hd8hRVCx8rzz7OaF/DMr19P0q/9VwLvo0FO2TBc0xpVxx/96u+a1pRyUuzBA==","signature_status":"signed_v1","signed_at":"2026-05-18T00:02:02.383190Z","signed_message":"canonical_sha256_bytes"},"source_id":"1605.07099","source_kind":"arxiv","source_version":4}}},"equivocations":[],"invalid_events":[],"applied_event_ids":["sha256:a4188535439412660c71414d20df5587a4f3184c7887968359ace608c1fce03e","sha256:751996b8e16aa85ac59e0afeec62a6217f488681ed99f91177c1ac71e6d3ae5f"],"state_sha256":"51701838663993dcc6a13eee55f2e6065e8a54f72a2d44a4e3c12a1ac93af708"},"bundle_signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"49dhXEUo0QY28fYB3wRXiCckTuZGkiZXrY83+7Yv14aVpffi93uC3TcwPZp/bVo1wDuXJiV0zk+G/ceWHiZdDw==","signed_message":"bundle_sha256_bytes","signed_at":"2026-05-21T15:01:43.136984Z","bundle_sha256":"ea21e8cddcc04b7007ad30a2557fde7fde8fd6e881eb7df870ce6a06defa38e3"}}