{"state_type":"pith_open_graph_state","state_version":"1.0","pith_number":"pith:2017:TLXZ53HQGEWDHNPENK2UAOTB6E","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":"8301638884fb40b2821049ffe006644a245698dd02c12e26a494c6a90cc43882","cross_cats_sorted":[],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.MF","submitted_at":"2017-05-02T16:51:01Z","title_canon_sha256":"ecaab99b600e34e795a2c7894ee753072d80fffa65506858fc7505ecb17c4e09"},"schema_version":"1.0","source":{"id":"1705.01069","kind":"arxiv","version":3}},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1705.01069","created_at":"2026-07-05T00:19:17Z"},{"alias_kind":"arxiv_version","alias_value":"1705.01069v3","created_at":"2026-07-05T00:19:17Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1705.01069","created_at":"2026-07-05T00:19:17Z"},{"alias_kind":"pith_short_12","alias_value":"TLXZ53HQGEWD","created_at":"2026-07-05T00:19:17Z"},{"alias_kind":"pith_short_16","alias_value":"TLXZ53HQGEWDHNPE","created_at":"2026-07-05T00:19:17Z"},{"alias_kind":"pith_short_8","alias_value":"TLXZ53HQ","created_at":"2026-07-05T00:19:17Z"}],"graph_snapshots":[{"event_id":"sha256:6b7dc20226affd6fe7413145d2c24139681ccdc931c9f7b0e40a5855c4e75a2a","target":"graph","created_at":"2026-07-05T00:19:17Z","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"},"integrity":{"available":true,"clean":true,"detectors_run":[],"endpoint":"/pith/1705.01069/integrity.json","findings":[],"snapshot_sha256":"c28c3603d3b5d939e8dc4c7e95fa8dfce3d595e45f758748cecf8e644a296938","summary":{"advisory":0,"by_detector":{},"critical":0,"informational":0}},"paper":{"abstract_excerpt":"We prove that the variance swap rate (fair strike) equals the price of a co-terminal European-style contract when the underlying is an exponential Markov process, time-changed by an arbitrary continuous stochastic clock, which has arbitrary correlation with the driving Markov process, provided that the payoff function $G$ of the European contract satisfies an ordinary integro-differential equation, which depends only on the dynamics of the Markov process, not on the clock. We present examples of Markov processes where the function $G$ that prices the variance swap can be computed explicitly. I","authors_text":"Matthew Lorig, Peter Carr, Roger Lee","cross_cats":[],"headline":"","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.MF","submitted_at":"2017-05-02T16:51:01Z","title":"Pricing Variance Swaps on Time-Changed Markov Processes"},"references":{"count":0,"internal_anchors":0,"resolved_work":0,"sample":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1705.01069","kind":"arxiv","version":3},"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":"sha256:261833ece72ce2bce13ae87c42e6eb47e907f0590caeda95715640bd596b2968","target":"record","created_at":"2026-07-05T00:19:17Z","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":"8301638884fb40b2821049ffe006644a245698dd02c12e26a494c6a90cc43882","cross_cats_sorted":[],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.MF","submitted_at":"2017-05-02T16:51:01Z","title_canon_sha256":"ecaab99b600e34e795a2c7894ee753072d80fffa65506858fc7505ecb17c4e09"},"schema_version":"1.0","source":{"id":"1705.01069","kind":"arxiv","version":3}},"canonical_sha256":"9aef9eecf0312c33b5e46ab5403a61f126a5bf8e9396db702544894ac8089ed4","receipt":{"algorithm":"ed25519","builder_version":"pith-number-builder-2026-05-17-v1","canonical_sha256":"9aef9eecf0312c33b5e46ab5403a61f126a5bf8e9396db702544894ac8089ed4","first_computed_at":"2026-07-05T00:19:17.424927Z","key_id":"pith-v1-2026-05","kind":"pith_receipt","last_reissued_at":"2026-07-05T00:19:17.424927Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","receipt_version":"0.3","signature_b64":"cmCYA38M3AhvGPGILnH6+M0V88D7WYL5nhTv9YDvbtTlz4LkXTFDoRq8ubGOpHsd82WaB1b9hSrOnvdpUEtnCA==","signature_status":"signed_v1","signed_at":"2026-07-05T00:19:17.425368Z","signed_message":"canonical_sha256_bytes"},"source_id":"1705.01069","source_kind":"arxiv","source_version":3}}},"equivocations":[],"invalid_events":[],"applied_event_ids":["sha256:261833ece72ce2bce13ae87c42e6eb47e907f0590caeda95715640bd596b2968","sha256:6b7dc20226affd6fe7413145d2c24139681ccdc931c9f7b0e40a5855c4e75a2a"],"state_sha256":"3c09c626366f77b55969f691ba429da574a7042b2f370c36c92cb03a9ce4ddac"}