{"state_type":"pith_open_graph_state","state_version":"1.0","pith_number":"pith:2017:SLYRM3P3S65NDJAMPGWPDHX33S","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":"58c183a947b780f07b15f0475ddfc9accd2ae8378aac5e7727e5905f8bb8ac43","cross_cats_sorted":[],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.MF","submitted_at":"2017-09-23T16:52:03Z","title_canon_sha256":"fc27403aa79d46a16b88e7522ba09f753ad04436294b4ab44e63f97ce90e760f"},"schema_version":"1.0","source":{"id":"1709.08075","kind":"arxiv","version":4}},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1709.08075","created_at":"2026-05-17T23:42:43Z"},{"alias_kind":"arxiv_version","alias_value":"1709.08075v4","created_at":"2026-05-17T23:42:43Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1709.08075","created_at":"2026-05-17T23:42:43Z"},{"alias_kind":"pith_short_12","alias_value":"SLYRM3P3S65N","created_at":"2026-05-18T12:31:43Z"},{"alias_kind":"pith_short_16","alias_value":"SLYRM3P3S65NDJAM","created_at":"2026-05-18T12:31:43Z"},{"alias_kind":"pith_short_8","alias_value":"SLYRM3P3","created_at":"2026-05-18T12:31:43Z"}],"graph_snapshots":[{"event_id":"sha256:4635dc2961e2ca2d5c071336b9a51068ab8717d70bcd658fb6b7dcde20874a20","target":"graph","created_at":"2026-05-17T23:42:43Z","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 calibration of volatility models from observable option prices is a fundamental problem in quantitative finance. The most common approach among industry practitioners is based on the celebrated Dupire's formula [6], which requires the knowledge of vanilla option prices for a continuum of strikes and maturities that can only be obtained via some form of price interpolation. In this paper, we propose a new local volatility calibration technique using the theory of optimal transport. We formulate a time continuous martingale optimal transport problem, which seeks a martingale diffusion proces","authors_text":"Gr\\'egoire Loeper, Ivan Guo, Shiyi Wang","cross_cats":[],"headline":"","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.MF","submitted_at":"2017-09-23T16:52:03Z","title":"Local Volatility Calibration by Optimal Transport"},"references":{"count":0,"internal_anchors":0,"resolved_work":0,"sample":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1709.08075","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":"sha256:1d1cf856e222ce45a31f1ddd79bdd33c1039fbd6d1f29190807dfade9e56c451","target":"record","created_at":"2026-05-17T23:42:43Z","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":"58c183a947b780f07b15f0475ddfc9accd2ae8378aac5e7727e5905f8bb8ac43","cross_cats_sorted":[],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.MF","submitted_at":"2017-09-23T16:52:03Z","title_canon_sha256":"fc27403aa79d46a16b88e7522ba09f753ad04436294b4ab44e63f97ce90e760f"},"schema_version":"1.0","source":{"id":"1709.08075","kind":"arxiv","version":4}},"canonical_sha256":"92f1166dfb97bad1a40c79acf19efbdcb0a1d021a90f8fba92ea13e720d56043","receipt":{"algorithm":"ed25519","builder_version":"pith-number-builder-2026-05-17-v1","canonical_sha256":"92f1166dfb97bad1a40c79acf19efbdcb0a1d021a90f8fba92ea13e720d56043","first_computed_at":"2026-05-17T23:42:43.587441Z","key_id":"pith-v1-2026-05","kind":"pith_receipt","last_reissued_at":"2026-05-17T23:42:43.587441Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","receipt_version":"0.3","signature_b64":"X+j7ZbikkbWrGzekp867myuvNfkhAUma80M1o2dblMQ1Lge72+lLO9zXbWXFbM4CVkfWNQCwwaBQ2uKhqz2WCA==","signature_status":"signed_v1","signed_at":"2026-05-17T23:42:43.588115Z","signed_message":"canonical_sha256_bytes"},"source_id":"1709.08075","source_kind":"arxiv","source_version":4}}},"equivocations":[],"invalid_events":[],"applied_event_ids":["sha256:1d1cf856e222ce45a31f1ddd79bdd33c1039fbd6d1f29190807dfade9e56c451","sha256:4635dc2961e2ca2d5c071336b9a51068ab8717d70bcd658fb6b7dcde20874a20"],"state_sha256":"76de4c0ce2b714c22450f2836fdfb427fb2e0d242928f87787450a6277ccd99c"}