{"bundle_type":"pith_open_graph_bundle","bundle_version":"1.0","pith_number":"pith:2018:VKINIORNR65FZTSNUUTZ23B2IV","short_pith_number":"pith:VKINIORN","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"},"canonical_sha256":"aa90d43a2d8fba5cce4da5279d6c3a457e1fc23210156a5fe89fe1c04fe738f3","source":{"kind":"arxiv","id":"1808.05289","version":2},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1808.05289","created_at":"2026-05-17T23:53:42Z"},{"alias_kind":"arxiv_version","alias_value":"1808.05289v2","created_at":"2026-05-17T23:53:42Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1808.05289","created_at":"2026-05-17T23:53:42Z"},{"alias_kind":"pith_short_12","alias_value":"VKINIORNR65F","created_at":"2026-05-18T12:32:59Z"},{"alias_kind":"pith_short_16","alias_value":"VKINIORNR65FZTSN","created_at":"2026-05-18T12:32:59Z"},{"alias_kind":"pith_short_8","alias_value":"VKINIORN","created_at":"2026-05-18T12:32:59Z"}],"events":[{"event_type":"record_created","subject_pith_number":"pith:2018:VKINIORNR65FZTSNUUTZ23B2IV","target":"record","payload":{"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"},"canonical_sha256":"aa90d43a2d8fba5cce4da5279d6c3a457e1fc23210156a5fe89fe1c04fe738f3","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"},"source_kind":"arxiv","source_id":"1808.05289","source_version":2,"attestation_state":"computed"},"signer":{"signer_id":"pith.science","signer_type":"pith_registry","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"created_at":"2026-05-17T23:53:42Z","supersedes":[],"prev_event":null,"signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"tWR2NuNW1nTqwjowmLMa/WtkGoEwjI4EnmwnhekgMZ96566YbMkI3D/BowEPLIYPNd4V7H2chIBkzqVT2eqTAA==","signed_message":"open_graph_event_sha256_bytes","signed_at":"2026-05-26T09:10:43.028093Z"},"content_sha256":"c6122b8a6b07334f11f9e709ca683fed178d43652c66a1840653d1b01b1bda94","schema_version":"1.0","event_id":"sha256:c6122b8a6b07334f11f9e709ca683fed178d43652c66a1840653d1b01b1bda94"},{"event_type":"graph_snapshot","subject_pith_number":"pith:2018:VKINIORNR65FZTSNUUTZ23B2IV","target":"graph","payload":{"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"},"verdict_id":null},"signer":{"signer_id":"pith.science","signer_type":"pith_registry","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"created_at":"2026-05-17T23:53:42Z","supersedes":[],"prev_event":null,"signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"LfC3cb9oWhHSGah67NPfhrMsBVsmZVoaOjqUqbtxqaXZpBIkIauLAOpXT5b/MkFjm8nwzMwz6DRnkUReuFjFBQ==","signed_message":"open_graph_event_sha256_bytes","signed_at":"2026-05-26T09:10:43.028759Z"},"content_sha256":"033932511f5876f99e0acafe80a9c5aff118eb830873998d2117d09b6f2bd15e","schema_version":"1.0","event_id":"sha256:033932511f5876f99e0acafe80a9c5aff118eb830873998d2117d09b6f2bd15e"}],"timestamp_proofs":[],"mirror_hints":[{"mirror_type":"https","name":"Pith Resolver","base_url":"https://pith.science","bundle_url":"https://pith.science/pith/VKINIORNR65FZTSNUUTZ23B2IV/bundle.json","state_url":"https://pith.science/pith/VKINIORNR65FZTSNUUTZ23B2IV/state.json","well_known_bundle_url":"https://pith.science/.well-known/pith/VKINIORNR65FZTSNUUTZ23B2IV/bundle.json","status":"primary"}],"public_keys":[{"key_id":"pith-v1-2026-05","algorithm":"ed25519","format":"raw","public_key_b64":"stVStoiQhXFxp4s2pdzPNoqVNBMojDU/fJ2db5S3CbM=","public_key_hex":"b2d552b68890857171a78b36a5dccf368a953413288c353f7c9d9d6f94b709b3","fingerprint_sha256_b32_first128bits":"RVFV5Z2OI2J3ZUO7ERDEBCYNKS","fingerprint_sha256_hex":"8d4b5ee74e4693bcd1df2446408b0d54","rotates_at":null,"url":"https://pith.science/pith-signing-key.json","notes":"Pith uses this Ed25519 key to sign canonical record SHA-256 digests. Verify with: ed25519_verify(public_key, message=canonical_sha256_bytes, signature=base64decode(signature_b64))."}],"merge_version":"pith-open-graph-merge-v1","built_at":"2026-05-26T09:10:43Z","links":{"resolver":"https://pith.science/pith/VKINIORNR65FZTSNUUTZ23B2IV","bundle":"https://pith.science/pith/VKINIORNR65FZTSNUUTZ23B2IV/bundle.json","state":"https://pith.science/pith/VKINIORNR65FZTSNUUTZ23B2IV/state.json","well_known_bundle":"https://pith.science/.well-known/pith/VKINIORNR65FZTSNUUTZ23B2IV/bundle.json"},"state":{"state_type":"pith_open_graph_state","state_version":"1.0","pith_number":"pith:2018:VKINIORNR65FZTSNUUTZ23B2IV","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":"877a18eb014ea5c4601920bbe8e7dddf6a98e6f0b310ccb255184bcf1dddfd33","cross_cats_sorted":["stat.AP"],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PR","submitted_at":"2018-08-15T21:32:25Z","title_canon_sha256":"48ca1f4a3226fc4ac5a443e530e07c3cd26fd6f6fbb72fbc30e0f8e17ad1928a"},"schema_version":"1.0","source":{"id":"1808.05289","kind":"arxiv","version":2}},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1808.05289","created_at":"2026-05-17T23:53:42Z"},{"alias_kind":"arxiv_version","alias_value":"1808.05289v2","created_at":"2026-05-17T23:53:42Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1808.05289","created_at":"2026-05-17T23:53:42Z"},{"alias_kind":"pith_short_12","alias_value":"VKINIORNR65F","created_at":"2026-05-18T12:32:59Z"},{"alias_kind":"pith_short_16","alias_value":"VKINIORNR65FZTSN","created_at":"2026-05-18T12:32:59Z"},{"alias_kind":"pith_short_8","alias_value":"VKINIORN","created_at":"2026-05-18T12:32:59Z"}],"graph_snapshots":[{"event_id":"sha256:033932511f5876f99e0acafe80a9c5aff118eb830873998d2117d09b6f2bd15e","target":"graph","created_at":"2026-05-17T23:53:42Z","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"},"paper":{"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","authors_text":"Fangfang Wang, Jie Yang, Keren Li, Liyuan Jiang, Shuang Zhou","cross_cats":["stat.AP"],"headline":"","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PR","submitted_at":"2018-08-15T21:32:25Z","title":"A New Nonparametric Estimate of the Risk-Neutral Density with Applications to Variance Swaps"},"references":{"count":0,"internal_anchors":0,"resolved_work":0,"sample":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1808.05289","kind":"arxiv","version":2},"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:c6122b8a6b07334f11f9e709ca683fed178d43652c66a1840653d1b01b1bda94","target":"record","created_at":"2026-05-17T23:53:42Z","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":"877a18eb014ea5c4601920bbe8e7dddf6a98e6f0b310ccb255184bcf1dddfd33","cross_cats_sorted":["stat.AP"],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PR","submitted_at":"2018-08-15T21:32:25Z","title_canon_sha256":"48ca1f4a3226fc4ac5a443e530e07c3cd26fd6f6fbb72fbc30e0f8e17ad1928a"},"schema_version":"1.0","source":{"id":"1808.05289","kind":"arxiv","version":2}},"canonical_sha256":"aa90d43a2d8fba5cce4da5279d6c3a457e1fc23210156a5fe89fe1c04fe738f3","receipt":{"algorithm":"ed25519","builder_version":"pith-number-builder-2026-05-17-v1","canonical_sha256":"aa90d43a2d8fba5cce4da5279d6c3a457e1fc23210156a5fe89fe1c04fe738f3","first_computed_at":"2026-05-17T23:53:42.183120Z","key_id":"pith-v1-2026-05","kind":"pith_receipt","last_reissued_at":"2026-05-17T23:53:42.183120Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","receipt_version":"0.3","signature_b64":"8q7bGKrg74iYN/LQ+q+iEskFw4oY5TXW2ZMVCurF88HGzshj6PAHEcCfia684g5w7nEsEpqUXZNHaqLEjhS2DA==","signature_status":"signed_v1","signed_at":"2026-05-17T23:53:42.183534Z","signed_message":"canonical_sha256_bytes"},"source_id":"1808.05289","source_kind":"arxiv","source_version":2}}},"equivocations":[],"invalid_events":[],"applied_event_ids":["sha256:c6122b8a6b07334f11f9e709ca683fed178d43652c66a1840653d1b01b1bda94","sha256:033932511f5876f99e0acafe80a9c5aff118eb830873998d2117d09b6f2bd15e"],"state_sha256":"1d9505b4ab1dae0970d7f1884a9cc7571642d3f2af6c3ff570d5417de58a7b0d"},"bundle_signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"T08/vqzaDOeboalWceAEi4xX7lA7tvwTZlKU+f6vhe1vbJZHfoYhy4eIYdz23cTNHalg+dZLi9K73BLaKZMHDw==","signed_message":"bundle_sha256_bytes","signed_at":"2026-05-26T09:10:43.031649Z","bundle_sha256":"b12f1f96dc4cb95e680f628762b9061d167b5165068deed1385ff990dbe20f87"}}