{"record_type":"pith_number_record","schema_url":"https://pith.science/schemas/pith-number/v1.json","pith_number":"pith:2013:SGCUJSYQY2OAU7OGO62HSZGPBY","short_pith_number":"pith:SGCUJSYQ","schema_version":"1.0","canonical_sha256":"918544cb10c69c0a7dc677b47964cf0e34122f58d2b9782ad15752a033586942","source":{"kind":"arxiv","id":"1310.3061","version":3},"attestation_state":"computed","paper":{"title":"Small-maturity asymptotics for the at-the-money implied volatility slope in L\\'evy models","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"q-fin.PR","authors_text":"Arpad Pinter, I. Cetin G\\\"ul\\\"um, Stefan Gerhold","submitted_at":"2013-10-11T09:19:20Z","abstract_excerpt":"We consider the at-the-money strike derivative of implied volatility as the maturity tends to zero. Our main results quantify the behavior of the slope for infinite activity exponential L\\'evy models including a Brownian component. As auxiliary results, we obtain asymptotic expansions of short maturity at-the-money digital call options, using Mellin transform asymptotics. Finally, we discuss when the at-the-money slope is consistent with the steepness of the smile wings, as given by Lee's moment formula."},"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":"1310.3061","kind":"arxiv","version":3},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PR","submitted_at":"2013-10-11T09:19:20Z","cross_cats_sorted":[],"title_canon_sha256":"25514b86ff225be3ca0ef8003dc6f9537634337985aead5f65d40971f89bd1c7","abstract_canon_sha256":"885ec1c6ba96e1f256b307a128b55bcfe6b8a280d031801e0e295dd4b6864a44"},"schema_version":"1.0"},"receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-05-18T01:13:28.979470Z","signature_b64":"jT4VntptYbeogy+1DV+uYFCi0A2s5c7hgaD0F/3AfbUXuctHzmGUjgFZyappph2WAWxdy/oXY4Th2Ez96026Cg==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"918544cb10c69c0a7dc677b47964cf0e34122f58d2b9782ad15752a033586942","last_reissued_at":"2026-05-18T01:13:28.978982Z","signature_status":"signed_v1","first_computed_at":"2026-05-18T01:13:28.978982Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"graph_snapshot":{"paper":{"title":"Small-maturity asymptotics for the at-the-money implied volatility slope in L\\'evy models","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"q-fin.PR","authors_text":"Arpad Pinter, I. Cetin G\\\"ul\\\"um, Stefan Gerhold","submitted_at":"2013-10-11T09:19:20Z","abstract_excerpt":"We consider the at-the-money strike derivative of implied volatility as the maturity tends to zero. Our main results quantify the behavior of the slope for infinite activity exponential L\\'evy models including a Brownian component. As auxiliary results, we obtain asymptotic expansions of short maturity at-the-money digital call options, using Mellin transform asymptotics. Finally, we discuss when the at-the-money slope is consistent with the steepness of the smile wings, as given by Lee's moment formula."},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1310.3061","kind":"arxiv","version":3},"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":"1310.3061","created_at":"2026-05-18T01:13:28.979073+00:00"},{"alias_kind":"arxiv_version","alias_value":"1310.3061v3","created_at":"2026-05-18T01:13:28.979073+00:00"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1310.3061","created_at":"2026-05-18T01:13:28.979073+00:00"},{"alias_kind":"pith_short_12","alias_value":"SGCUJSYQY2OA","created_at":"2026-05-18T12:27:59.945178+00:00"},{"alias_kind":"pith_short_16","alias_value":"SGCUJSYQY2OAU7OG","created_at":"2026-05-18T12:27:59.945178+00:00"},{"alias_kind":"pith_short_8","alias_value":"SGCUJSYQ","created_at":"2026-05-18T12:27:59.945178+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/SGCUJSYQY2OAU7OGO62HSZGPBY","json":"https://pith.science/pith/SGCUJSYQY2OAU7OGO62HSZGPBY.json","graph_json":"https://pith.science/api/pith-number/SGCUJSYQY2OAU7OGO62HSZGPBY/graph.json","events_json":"https://pith.science/api/pith-number/SGCUJSYQY2OAU7OGO62HSZGPBY/events.json","paper":"https://pith.science/paper/SGCUJSYQ"},"agent_actions":{"view_html":"https://pith.science/pith/SGCUJSYQY2OAU7OGO62HSZGPBY","download_json":"https://pith.science/pith/SGCUJSYQY2OAU7OGO62HSZGPBY.json","view_paper":"https://pith.science/paper/SGCUJSYQ","resolve_alias":"https://pith.science/api/pith-number/resolve?arxiv=1310.3061&json=true","fetch_graph":"https://pith.science/api/pith-number/SGCUJSYQY2OAU7OGO62HSZGPBY/graph.json","fetch_events":"https://pith.science/api/pith-number/SGCUJSYQY2OAU7OGO62HSZGPBY/events.json","actions":{"anchor_timestamp":"https://pith.science/pith/SGCUJSYQY2OAU7OGO62HSZGPBY/action/timestamp_anchor","attest_storage":"https://pith.science/pith/SGCUJSYQY2OAU7OGO62HSZGPBY/action/storage_attestation","attest_author":"https://pith.science/pith/SGCUJSYQY2OAU7OGO62HSZGPBY/action/author_attestation","sign_citation":"https://pith.science/pith/SGCUJSYQY2OAU7OGO62HSZGPBY/action/citation_signature","submit_replication":"https://pith.science/pith/SGCUJSYQY2OAU7OGO62HSZGPBY/action/replication_record"}},"created_at":"2026-05-18T01:13:28.979073+00:00","updated_at":"2026-05-18T01:13:28.979073+00:00"}