{"record_type":"pith_number_record","schema_url":"https://pith.science/schemas/pith-number/v1.json","pith_number":"pith:2022:UMS6HFWDNVC6AYW6ODTVHYVM54","short_pith_number":"pith:UMS6HFWD","schema_version":"1.0","canonical_sha256":"a325e396c36d45e062de70e753e2acef21a2db1b6df512066d2095e9d11bb855","source":{"kind":"arxiv","id":"2204.02376","version":2},"attestation_state":"computed","paper":{"title":"Local volatility under rough volatility","license":"http://creativecommons.org/publicdomain/zero/1.0/","headline":"","cross_cats":[],"primary_cat":"q-fin.MF","authors_text":"Florian Bourgey, Paolo Pigato, Peter K. Friz, Stefano De Marco","submitted_at":"2022-04-05T17:30:06Z","abstract_excerpt":"Several asymptotic results for the implied volatility generated by a rough volatility model have been obtained in recent years (notably in the small-maturity regime), providing a better understanding of the shapes of the volatility surface induced by rough volatility models, and supporting their calibration power to S&P500 option data. Rough volatility models also generate a local volatility surface, via the so-called Markovian projection of the stochastic volatility. We complement the existing results on the implied volatility by studying the asymptotic behavior of the local volatility surfac"},"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":"2204.02376","kind":"arxiv","version":2},"metadata":{"license":"http://creativecommons.org/publicdomain/zero/1.0/","primary_cat":"q-fin.MF","submitted_at":"2022-04-05T17:30:06Z","cross_cats_sorted":[],"title_canon_sha256":"ef67cf53196d2b614a8f7d65c2b326d7d561060d6a61f13c885f512e96a4aab3","abstract_canon_sha256":"4921027f695d09f30422550650bf53b61410015c5b7d01621866f67f782efa22"},"schema_version":"1.0"},"receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-07-05T05:15:59.831407Z","signature_b64":"/JiqIbaYyg6UWhOTyJTS4GyCBK5Z8nvcFiCYjh0M5HxvYbTOIuI+AK7/Q25RW2omD8lU7PdzTlQjhYQOmoDQAg==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"a325e396c36d45e062de70e753e2acef21a2db1b6df512066d2095e9d11bb855","last_reissued_at":"2026-07-05T05:15:59.830888Z","signature_status":"signed_v1","first_computed_at":"2026-07-05T05:15:59.830888Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"graph_snapshot":{"paper":{"title":"Local volatility under rough volatility","license":"http://creativecommons.org/publicdomain/zero/1.0/","headline":"","cross_cats":[],"primary_cat":"q-fin.MF","authors_text":"Florian Bourgey, Paolo Pigato, Peter K. Friz, Stefano De Marco","submitted_at":"2022-04-05T17:30:06Z","abstract_excerpt":"Several asymptotic results for the implied volatility generated by a rough volatility model have been obtained in recent years (notably in the small-maturity regime), providing a better understanding of the shapes of the volatility surface induced by rough volatility models, and supporting their calibration power to S&P500 option data. Rough volatility models also generate a local volatility surface, via the so-called Markovian projection of the stochastic volatility. We complement the existing results on the implied volatility by studying the asymptotic behavior of the local volatility surfac"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"2204.02376","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":""},"integrity":{"clean":true,"summary":{"advisory":0,"critical":0,"by_detector":{},"informational":0},"endpoint":"/pith/2204.02376/integrity.json","findings":[],"available":true,"detectors_run":[],"snapshot_sha256":"c28c3603d3b5d939e8dc4c7e95fa8dfce3d595e45f758748cecf8e644a296938"},"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":"2204.02376","created_at":"2026-07-05T05:15:59.830957+00:00"},{"alias_kind":"arxiv_version","alias_value":"2204.02376v2","created_at":"2026-07-05T05:15:59.830957+00:00"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.2204.02376","created_at":"2026-07-05T05:15:59.830957+00:00"},{"alias_kind":"pith_short_12","alias_value":"UMS6HFWDNVC6","created_at":"2026-07-05T05:15:59.830957+00:00"},{"alias_kind":"pith_short_16","alias_value":"UMS6HFWDNVC6AYW6","created_at":"2026-07-05T05:15:59.830957+00:00"},{"alias_kind":"pith_short_8","alias_value":"UMS6HFWD","created_at":"2026-07-05T05:15:59.830957+00:00"}],"events":[],"event_summary":{},"paper_claims":[],"inbound_citations":{"count":1,"internal_anchor_count":1,"sample":[{"citing_arxiv_id":"2411.16617","citing_title":"Pricing Multi-strike Quanto Call Options on Multiple Assets with Stochastic Volatility, Correlation, and Exchange Rates","ref_index":80,"is_internal_anchor":true}]},"formal_canon":{"evidence_count":0,"sample":[],"anchors":[]},"links":{"html":"https://pith.science/pith/UMS6HFWDNVC6AYW6ODTVHYVM54","json":"https://pith.science/pith/UMS6HFWDNVC6AYW6ODTVHYVM54.json","graph_json":"https://pith.science/api/pith-number/UMS6HFWDNVC6AYW6ODTVHYVM54/graph.json","events_json":"https://pith.science/api/pith-number/UMS6HFWDNVC6AYW6ODTVHYVM54/events.json","paper":"https://pith.science/paper/UMS6HFWD"},"agent_actions":{"view_html":"https://pith.science/pith/UMS6HFWDNVC6AYW6ODTVHYVM54","download_json":"https://pith.science/pith/UMS6HFWDNVC6AYW6ODTVHYVM54.json","view_paper":"https://pith.science/paper/UMS6HFWD","resolve_alias":"https://pith.science/api/pith-number/resolve?arxiv=2204.02376&json=true","fetch_graph":"https://pith.science/api/pith-number/UMS6HFWDNVC6AYW6ODTVHYVM54/graph.json","fetch_events":"https://pith.science/api/pith-number/UMS6HFWDNVC6AYW6ODTVHYVM54/events.json","actions":{"anchor_timestamp":"https://pith.science/pith/UMS6HFWDNVC6AYW6ODTVHYVM54/action/timestamp_anchor","attest_storage":"https://pith.science/pith/UMS6HFWDNVC6AYW6ODTVHYVM54/action/storage_attestation","attest_author":"https://pith.science/pith/UMS6HFWDNVC6AYW6ODTVHYVM54/action/author_attestation","sign_citation":"https://pith.science/pith/UMS6HFWDNVC6AYW6ODTVHYVM54/action/citation_signature","submit_replication":"https://pith.science/pith/UMS6HFWDNVC6AYW6ODTVHYVM54/action/replication_record"}},"created_at":"2026-07-05T05:15:59.830957+00:00","updated_at":"2026-07-05T05:15:59.830957+00:00"}