{"record_type":"pith_number_record","schema_url":"https://pith.science/schemas/pith-number/v1.json","pith_number":"pith:2018:VKINIORNR65FZTSNUUTZ23B2IV","short_pith_number":"pith:VKINIORN","schema_version":"1.0","canonical_sha256":"aa90d43a2d8fba5cce4da5279d6c3a457e1fc23210156a5fe89fe1c04fe738f3","source":{"kind":"arxiv","id":"1808.05289","version":2},"attestation_state":"computed","paper":{"title":"A New Nonparametric Estimate of the Risk-Neutral Density with Applications to Variance Swaps","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["stat.AP"],"primary_cat":"q-fin.PR","authors_text":"Fangfang Wang, Jie Yang, Keren Li, Liyuan Jiang, Shuang Zhou","submitted_at":"2018-08-15T21:32:25Z","abstract_excerpt":"We develop a new nonparametric approach for estimating the risk-neutral density of asset prices and reformulate its estimation into a double-constrained optimization problem. We evaluate our approach using the S\\&P 500 market option prices from 1996 to 2015. A comprehensive cross-validation study shows that our approach outperforms the existing nonparametric quartic B-spline and cubic spline methods, as well as the parametric method based on the Normal Inverse Gaussian distribution. As an application, we use the proposed density estimator to price long-term variance swaps, and the model-implie"},"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":"1808.05289","kind":"arxiv","version":2},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PR","submitted_at":"2018-08-15T21:32:25Z","cross_cats_sorted":["stat.AP"],"title_canon_sha256":"48ca1f4a3226fc4ac5a443e530e07c3cd26fd6f6fbb72fbc30e0f8e17ad1928a","abstract_canon_sha256":"877a18eb014ea5c4601920bbe8e7dddf6a98e6f0b310ccb255184bcf1dddfd33"},"schema_version":"1.0"},"receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-05-17T23:53:42.183534Z","signature_b64":"8q7bGKrg74iYN/LQ+q+iEskFw4oY5TXW2ZMVCurF88HGzshj6PAHEcCfia684g5w7nEsEpqUXZNHaqLEjhS2DA==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"aa90d43a2d8fba5cce4da5279d6c3a457e1fc23210156a5fe89fe1c04fe738f3","last_reissued_at":"2026-05-17T23:53:42.183120Z","signature_status":"signed_v1","first_computed_at":"2026-05-17T23:53:42.183120Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"graph_snapshot":{"paper":{"title":"A New Nonparametric Estimate of the Risk-Neutral Density with Applications to Variance Swaps","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["stat.AP"],"primary_cat":"q-fin.PR","authors_text":"Fangfang Wang, Jie Yang, Keren Li, Liyuan Jiang, Shuang Zhou","submitted_at":"2018-08-15T21:32:25Z","abstract_excerpt":"We develop a new nonparametric approach for estimating the risk-neutral density of asset prices and reformulate its estimation into a double-constrained optimization problem. We evaluate our approach using the S\\&P 500 market option prices from 1996 to 2015. A comprehensive cross-validation study shows that our approach outperforms the existing nonparametric quartic B-spline and cubic spline methods, as well as the parametric method based on the Normal Inverse Gaussian distribution. As an application, we use the proposed density estimator to price long-term variance swaps, and the model-implie"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1808.05289","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":"1808.05289","created_at":"2026-05-17T23:53:42.183179+00:00"},{"alias_kind":"arxiv_version","alias_value":"1808.05289v2","created_at":"2026-05-17T23:53:42.183179+00:00"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1808.05289","created_at":"2026-05-17T23:53:42.183179+00:00"},{"alias_kind":"pith_short_12","alias_value":"VKINIORNR65F","created_at":"2026-05-18T12:32:59.047623+00:00"},{"alias_kind":"pith_short_16","alias_value":"VKINIORNR65FZTSN","created_at":"2026-05-18T12:32:59.047623+00:00"},{"alias_kind":"pith_short_8","alias_value":"VKINIORN","created_at":"2026-05-18T12:32:59.047623+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/VKINIORNR65FZTSNUUTZ23B2IV","json":"https://pith.science/pith/VKINIORNR65FZTSNUUTZ23B2IV.json","graph_json":"https://pith.science/api/pith-number/VKINIORNR65FZTSNUUTZ23B2IV/graph.json","events_json":"https://pith.science/api/pith-number/VKINIORNR65FZTSNUUTZ23B2IV/events.json","paper":"https://pith.science/paper/VKINIORN"},"agent_actions":{"view_html":"https://pith.science/pith/VKINIORNR65FZTSNUUTZ23B2IV","download_json":"https://pith.science/pith/VKINIORNR65FZTSNUUTZ23B2IV.json","view_paper":"https://pith.science/paper/VKINIORN","resolve_alias":"https://pith.science/api/pith-number/resolve?arxiv=1808.05289&json=true","fetch_graph":"https://pith.science/api/pith-number/VKINIORNR65FZTSNUUTZ23B2IV/graph.json","fetch_events":"https://pith.science/api/pith-number/VKINIORNR65FZTSNUUTZ23B2IV/events.json","actions":{"anchor_timestamp":"https://pith.science/pith/VKINIORNR65FZTSNUUTZ23B2IV/action/timestamp_anchor","attest_storage":"https://pith.science/pith/VKINIORNR65FZTSNUUTZ23B2IV/action/storage_attestation","attest_author":"https://pith.science/pith/VKINIORNR65FZTSNUUTZ23B2IV/action/author_attestation","sign_citation":"https://pith.science/pith/VKINIORNR65FZTSNUUTZ23B2IV/action/citation_signature","submit_replication":"https://pith.science/pith/VKINIORNR65FZTSNUUTZ23B2IV/action/replication_record"}},"created_at":"2026-05-17T23:53:42.183179+00:00","updated_at":"2026-05-17T23:53:42.183179+00:00"}