{"record_type":"pith_number_record","schema_url":"https://pith.science/schemas/pith-number/v1.json","pith_number":"pith:2010:TNQOZX3ED2BWXAMF4YPMPXD3J7","short_pith_number":"pith:TNQOZX3E","schema_version":"1.0","canonical_sha256":"9b60ecdf641e836b8185e61ec7dc7b4feb77b063b5db59b8aa6b49a38b79143b","source":{"kind":"arxiv","id":"1003.3316","version":2},"attestation_state":"computed","paper":{"title":"Adiabaticity Conditions for Volatility Smile in Black-Scholes Pricing Model","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"q-fin.PR","authors_text":"F. Borgonovi, G. P. Berman, L. Spadafora","submitted_at":"2010-03-17T07:53:00Z","abstract_excerpt":"Our derivation of the distribution function for future returns is based on the risk neutral approach which gives a functional dependence for the European call (put) option price, C(K), given the strike price, K, and the distribution function of the returns. We derive this distribution function using for C(K) a Black-Scholes (BS) expression with volatility in the form of a volatility smile. We show that this approach based on a volatility smile leads to relative minima for the distribution function (\"bad\" probabilities) never observed in real data and, in the worst cases, negative probabilities"},"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":"1003.3316","kind":"arxiv","version":2},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PR","submitted_at":"2010-03-17T07:53:00Z","cross_cats_sorted":[],"title_canon_sha256":"a8980356172d43340529eb3470fcaf251f885ed79753476976d6e0824d5ea3a7","abstract_canon_sha256":"ac965775b5918e011eae3f7664708bcdbc86295bb8989ad8d329628896421aa0"},"schema_version":"1.0"},"receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-05-18T02:08:26.546786Z","signature_b64":"IRUHib6wT0zp6/pvTLti6OpyZqUOsE+1m5CIqMBwbxjq/I4nc3Xq6hFY426En5mBshClgI2ryuLVUsDUrKQlDQ==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"9b60ecdf641e836b8185e61ec7dc7b4feb77b063b5db59b8aa6b49a38b79143b","last_reissued_at":"2026-05-18T02:08:26.546108Z","signature_status":"signed_v1","first_computed_at":"2026-05-18T02:08:26.546108Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"graph_snapshot":{"paper":{"title":"Adiabaticity Conditions for Volatility Smile in Black-Scholes Pricing Model","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"q-fin.PR","authors_text":"F. Borgonovi, G. P. Berman, L. Spadafora","submitted_at":"2010-03-17T07:53:00Z","abstract_excerpt":"Our derivation of the distribution function for future returns is based on the risk neutral approach which gives a functional dependence for the European call (put) option price, C(K), given the strike price, K, and the distribution function of the returns. We derive this distribution function using for C(K) a Black-Scholes (BS) expression with volatility in the form of a volatility smile. We show that this approach based on a volatility smile leads to relative minima for the distribution function (\"bad\" probabilities) never observed in real data and, in the worst cases, negative probabilities"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1003.3316","kind":"arxiv","version":2},"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":"1003.3316","created_at":"2026-05-18T02:08:26.546205+00:00"},{"alias_kind":"arxiv_version","alias_value":"1003.3316v2","created_at":"2026-05-18T02:08:26.546205+00:00"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1003.3316","created_at":"2026-05-18T02:08:26.546205+00:00"},{"alias_kind":"pith_short_12","alias_value":"TNQOZX3ED2BW","created_at":"2026-05-18T12:26:13.927090+00:00"},{"alias_kind":"pith_short_16","alias_value":"TNQOZX3ED2BWXAMF","created_at":"2026-05-18T12:26:13.927090+00:00"},{"alias_kind":"pith_short_8","alias_value":"TNQOZX3E","created_at":"2026-05-18T12:26:13.927090+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/TNQOZX3ED2BWXAMF4YPMPXD3J7","json":"https://pith.science/pith/TNQOZX3ED2BWXAMF4YPMPXD3J7.json","graph_json":"https://pith.science/api/pith-number/TNQOZX3ED2BWXAMF4YPMPXD3J7/graph.json","events_json":"https://pith.science/api/pith-number/TNQOZX3ED2BWXAMF4YPMPXD3J7/events.json","paper":"https://pith.science/paper/TNQOZX3E"},"agent_actions":{"view_html":"https://pith.science/pith/TNQOZX3ED2BWXAMF4YPMPXD3J7","download_json":"https://pith.science/pith/TNQOZX3ED2BWXAMF4YPMPXD3J7.json","view_paper":"https://pith.science/paper/TNQOZX3E","resolve_alias":"https://pith.science/api/pith-number/resolve?arxiv=1003.3316&json=true","fetch_graph":"https://pith.science/api/pith-number/TNQOZX3ED2BWXAMF4YPMPXD3J7/graph.json","fetch_events":"https://pith.science/api/pith-number/TNQOZX3ED2BWXAMF4YPMPXD3J7/events.json","actions":{"anchor_timestamp":"https://pith.science/pith/TNQOZX3ED2BWXAMF4YPMPXD3J7/action/timestamp_anchor","attest_storage":"https://pith.science/pith/TNQOZX3ED2BWXAMF4YPMPXD3J7/action/storage_attestation","attest_author":"https://pith.science/pith/TNQOZX3ED2BWXAMF4YPMPXD3J7/action/author_attestation","sign_citation":"https://pith.science/pith/TNQOZX3ED2BWXAMF4YPMPXD3J7/action/citation_signature","submit_replication":"https://pith.science/pith/TNQOZX3ED2BWXAMF4YPMPXD3J7/action/replication_record"}},"created_at":"2026-05-18T02:08:26.546205+00:00","updated_at":"2026-05-18T02:08:26.546205+00:00"}