{"state_type":"pith_open_graph_state","state_version":"1.0","pith_number":"pith:2026:X6KSKWCJAI5SULRACRSBYDLC7T","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":"0bbd57bac3ab518244d1c07d33a67fb25d4e7d20a25654b5dbc2c2b350f0d74f","cross_cats_sorted":["cs.LG"],"license":"http://creativecommons.org/licenses/by/4.0/","primary_cat":"q-fin.CP","submitted_at":"2026-05-13T18:07:14Z","title_canon_sha256":"75dc394508407ce768b212d847554a74a1d87d4c27147a13c4203bd1cd2e8c60"},"schema_version":"1.0","source":{"id":"2605.13998","kind":"arxiv","version":1}},"source_aliases":[{"alias_kind":"arxiv","alias_value":"2605.13998","created_at":"2026-05-17T23:39:13Z"},{"alias_kind":"arxiv_version","alias_value":"2605.13998v1","created_at":"2026-05-17T23:39:13Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.2605.13998","created_at":"2026-05-17T23:39:13Z"},{"alias_kind":"pith_short_12","alias_value":"X6KSKWCJAI5S","created_at":"2026-05-18T12:33:37Z"},{"alias_kind":"pith_short_16","alias_value":"X6KSKWCJAI5SULRA","created_at":"2026-05-18T12:33:37Z"},{"alias_kind":"pith_short_8","alias_value":"X6KSKWCJ","created_at":"2026-05-18T12:33:37Z"}],"graph_snapshots":[{"event_id":"sha256:932d35ad4e4d43491ee2908fcf88d64a9ddb065d96332226c0137b425ad7d2df","target":"graph","created_at":"2026-05-17T23:39:13Z","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":4,"items":[{"attestation":"unclaimed","claim_id":"C1","kind":"strongest_claim","source":"verdict.strongest_claim","status":"machine_extracted","text":"We break this circularity with a pipeline in which implied volatility emerges as an output of a structural model of equity returns."},{"attestation":"unclaimed","claim_id":"C2","kind":"weakest_assumption","source":"verdict.weakest_assumption","status":"machine_extracted","text":"The modified Heston variance process with regime-, expiration-, moneyness-, and mood-dependent mean-reversion target, when initialized at that target, produces realistic implied volatility surfaces that generalize beyond the calibration data."},{"attestation":"unclaimed","claim_id":"C3","kind":"one_line_summary","source":"verdict.one_line_summary","status":"machine_extracted","text":"A Jump-HMM-driven modified Heston model generates synthetic implied volatility surfaces and American option prices directly from simulated equity return paths, breaking the circular dependency on market-derived volatility."},{"attestation":"unclaimed","claim_id":"C4","kind":"headline","source":"verdict.pith_extraction.headline","status":"machine_extracted","text":"A structural equity model generates implied volatility surfaces to price synthetic American options without market calibration."}],"snapshot_sha256":"78d73181c653c56640d44a64c86375b217abfdd3e4c642b3eb89bfd25d9fc2da"},"formal_canon":{"evidence_count":2,"snapshot_sha256":"f2bcc5aba2cc000936dcee9ffbdfafd60fc4804d95f3b254f43fcd00219932c5"},"paper":{"abstract_excerpt":"Generating realistic synthetic option prices requires implied volatility as an input, yet implied volatility is itself derived from observed option prices, creating a circular dependency that limits synthetic data for machine-learning and risk-analysis applications. We break this circularity with a pipeline in which implied volatility emerges as an output of a structural model of equity returns. A Jump Hidden Markov Model produces multi-asset price paths with realistic stylized facts and cross-asset tail dependence; a modified Heston variance process, whose mean-reversion target depends on reg","authors_text":"Jeffrey D. Varner, Jiawei Zhang, Julia Sun, Zheyu Jin","cross_cats":["cs.LG"],"headline":"A structural equity model generates implied volatility surfaces to price synthetic American options without market calibration.","license":"http://creativecommons.org/licenses/by/4.0/","primary_cat":"q-fin.CP","submitted_at":"2026-05-13T18:07:14Z","title":"Synthetic American Option Pricing via Jump-HMM-Driven Heston Implied Volatility"},"references":{"count":21,"internal_anchors":1,"resolved_work":21,"sample":[{"cited_arxiv_id":"","doi":"","is_internal_anchor":false,"ref_index":1,"title":"The Review of Financial Studies , volume=","work_id":"1ea0bb7f-486d-42ea-b916-2f2cf1972dc9","year":1993},{"cited_arxiv_id":"","doi":"","is_internal_anchor":false,"ref_index":2,"title":"Journal of Financial Economics , volume=","work_id":"b1fcc933-803f-4be2-b767-908b3f5e8bd1","year":1979},{"cited_arxiv_id":"","doi":"","is_internal_anchor":false,"ref_index":3,"title":"arXiv preprint arXiv:2603.10202 , year=","work_id":"d8c8a9fa-0e24-4042-84af-8106e59aedd1","year":null},{"cited_arxiv_id":"","doi":"","is_internal_anchor":false,"ref_index":4,"title":"Simple and efficient simulation of the","work_id":"5178118f-9a9d-4276-a1b7-7ac6ecb5b6bf","year":2008},{"cited_arxiv_id":"","doi":"","is_internal_anchor":false,"ref_index":5,"title":"A parsimonious arbitrage-free implied volatility parameterization with application to the valuation of volatility derivatives , author=","work_id":"c2dfb368-9856-42b8-a5d2-044adce76451","year":null}],"snapshot_sha256":"b0eebda064e2bf951c5cc53f94c7f4fe847538ff87535a7c7f9ceeb78a48d762"},"source":{"id":"2605.13998","kind":"arxiv","version":1},"verdict":{"created_at":"2026-05-15T02:25:38.857877Z","id":"59bb7686-b9a8-4cc0-9071-9cda069c0011","model_set":{"reader":"grok-4.3"},"one_line_summary":"A Jump-HMM-driven modified Heston model generates synthetic implied volatility surfaces and American option prices directly from simulated equity return paths, breaking the circular dependency on market-derived volatility.","pipeline_version":"pith-pipeline@v0.9.0","pith_extraction_headline":"A structural equity model generates implied volatility surfaces to price synthetic American options without market calibration.","strongest_claim":"We break this circularity with a pipeline in which implied volatility emerges as an output of a structural model of equity returns.","weakest_assumption":"The modified Heston variance process with regime-, expiration-, moneyness-, and mood-dependent mean-reversion target, when initialized at that target, produces realistic implied volatility surfaces that generalize beyond the calibration data."}},"verdict_id":"59bb7686-b9a8-4cc0-9071-9cda069c0011"}}],"author_attestations":[],"timestamp_anchors":[],"storage_attestations":[],"citation_signatures":[],"replication_records":[],"corrections":[],"mirror_hints":[],"record_created":{"event_id":"sha256:7d707ea91c36809f3b065ee7042a51c027ee6499d197db10bc5871135608e7a9","target":"record","created_at":"2026-05-17T23:39:13Z","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":"0bbd57bac3ab518244d1c07d33a67fb25d4e7d20a25654b5dbc2c2b350f0d74f","cross_cats_sorted":["cs.LG"],"license":"http://creativecommons.org/licenses/by/4.0/","primary_cat":"q-fin.CP","submitted_at":"2026-05-13T18:07:14Z","title_canon_sha256":"75dc394508407ce768b212d847554a74a1d87d4c27147a13c4203bd1cd2e8c60"},"schema_version":"1.0","source":{"id":"2605.13998","kind":"arxiv","version":1}},"canonical_sha256":"bf95255849023b2a2e2014641c0d62fcdfbf958c8c135ba5f418ac03ffe70f1b","receipt":{"algorithm":"ed25519","builder_version":"pith-number-builder-2026-05-17-v1","canonical_sha256":"bf95255849023b2a2e2014641c0d62fcdfbf958c8c135ba5f418ac03ffe70f1b","first_computed_at":"2026-05-17T23:39:13.181291Z","key_id":"pith-v1-2026-05","kind":"pith_receipt","last_reissued_at":"2026-05-17T23:39:13.181291Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","receipt_version":"0.3","signature_b64":"57Aa6fPvYT/+Ti0jGRYsMBiK++JkHH496PQShEQ2Id67ccceHP5w4Szc0ZA2ISig14NuQG7PWzUlEnxp6/MPAg==","signature_status":"signed_v1","signed_at":"2026-05-17T23:39:13.181792Z","signed_message":"canonical_sha256_bytes"},"source_id":"2605.13998","source_kind":"arxiv","source_version":1}}},"equivocations":[],"invalid_events":[],"applied_event_ids":["sha256:7d707ea91c36809f3b065ee7042a51c027ee6499d197db10bc5871135608e7a9","sha256:932d35ad4e4d43491ee2908fcf88d64a9ddb065d96332226c0137b425ad7d2df"],"state_sha256":"05b43a7e33d57a0a8faa2e671a79707c755f7ba533e640e50106bc0ed377f29b"}