Pith Number

pith:UQO3PO4V

pith:2026:UQO3PO4VBEBKMODZUU5VW7LWUM

not attested not anchored not stored refs pending

Implied Volatility Expansions for VIX Options in Forward Variance Models

Ankush Agarwal, Florian Bourgey, Ying Liao

Forward variance models admit closed-form expansions for the implied volatility of VIX options.

arxiv:2604.25123 v2 · 2026-04-28 · q-fin.CP · q-fin.MF

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\usepackage{pith}
\pithnumber{UQO3PO4VBEBKMODZUU5VW7LWUM}

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4 Citations open

5 Replications open

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The bundle contains the canonical record plus signed events. A mirror can host it anywhere and recompute the same current state with the deterministic merge algorithm.

Claims

C1strongest claim

We develop closed-form expansions for the implied volatility of VIX options within the class of forward variance models... yields explicit implied volatility expansions with computable correction terms.

C2weakest assumption

That weak-approximation techniques for VIX option prices remain sufficiently accurate in forward variance models to produce reliable implied volatility expansions with computable corrections across practical parameter ranges.

C3one line summary

Closed-form implied volatility expansions for VIX options are derived in forward variance models via weak approximations, with explicit correction terms for fast calibration.

Receipt and verification

First computed	2026-05-26T02:05:09.634555Z
Builder	pith-number-builder-2026-05-17-v1
Signature	Pith Ed25519 (`pith-v1-2026-05`) · public key
Schema	pith-number/v1.0

Canonical hash

a41db7bb950902a63879a53b5b7d76a31aaf8c7fe6b3256138babb773f693ef0

Aliases

arxiv: 2604.25123 · arxiv_version: 2604.25123v2 · doi: 10.48550/arxiv.2604.25123 · pith_short_12: UQO3PO4VBEBK · pith_short_16: UQO3PO4VBEBKMODZ · pith_short_8: UQO3PO4V

Agent API

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Verify this Pith Number yourself

curl -sH 'Accept: application/ld+json' https://pith.science/pith/UQO3PO4VBEBKMODZUU5VW7LWUM \
  | jq -c '.canonical_record' \
  | python3 -c "import sys,json,hashlib; b=json.dumps(json.loads(sys.stdin.read()), sort_keys=True, separators=(',',':'), ensure_ascii=False).encode(); print(hashlib.sha256(b).hexdigest())"
# expect: a41db7bb950902a63879a53b5b7d76a31aaf8c7fe6b3256138babb773f693ef0

Canonical record JSON

{
  "metadata": {
    "abstract_canon_sha256": "f65ea7e2e6f68e9867af31bd9091c91e2a02b610aefafdd69fcdd838fb00d98a",
    "cross_cats_sorted": [
      "q-fin.MF"
    ],
    "license": "http://creativecommons.org/licenses/by/4.0/",
    "primary_cat": "q-fin.CP",
    "submitted_at": "2026-04-28T01:58:10Z",
    "title_canon_sha256": "48f4bf315b7d95ba9a4045a7daa19a8a6c4f9a8c648e135fc3e546b1c4269596"
  },
  "schema_version": "1.0",
  "source": {
    "id": "2604.25123",
    "kind": "arxiv",
    "version": 2
  }
}