{"state_type":"pith_open_graph_state","state_version":"1.0","pith_number":"pith:2014:YJJ4KALTF6XQY54JBMPUTAM674","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":"92d46c25cc158217ed5226fc001ab9e20af69b7000962180a016542ae70ce6c0","cross_cats_sorted":[],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PR","submitted_at":"2014-09-03T17:28:50Z","title_canon_sha256":"34c3ed356f3a64287c7d996679bc0853d1e8c06b9195f402e2fdac0c72328f58"},"schema_version":"1.0","source":{"id":"1409.1175","kind":"arxiv","version":1}},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1409.1175","created_at":"2026-05-18T02:43:37Z"},{"alias_kind":"arxiv_version","alias_value":"1409.1175v1","created_at":"2026-05-18T02:43:37Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1409.1175","created_at":"2026-05-18T02:43:37Z"},{"alias_kind":"pith_short_12","alias_value":"YJJ4KALTF6XQ","created_at":"2026-05-18T12:28:57Z"},{"alias_kind":"pith_short_16","alias_value":"YJJ4KALTF6XQY54J","created_at":"2026-05-18T12:28:57Z"},{"alias_kind":"pith_short_8","alias_value":"YJJ4KALT","created_at":"2026-05-18T12:28:57Z"}],"graph_snapshots":[{"event_id":"sha256:5ff15f329fc3276dfd46d8ee6addfea39ad17bc91e293c0dfb70a5a26a94c70e","target":"graph","created_at":"2026-05-18T02:43:37Z","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":"This paper examines the problem of pricing spread options under some models with jumps driven by Compound Poisson Processes and stochastic volatilities in the form of Cox-Ingersoll-Ross(CIR) processes. We derive the characteristic function for two market models featuring joint normally distributed jumps, stochastic volatility, and different stochastic dependence structures. With the use of Fast Fourier Transform(FFT) we accurately compute spread option prices across a variety of strikes and initial price vectors at a very low computational cost when compared to Monte Carlo pricing methods. We ","authors_text":"Matthew Cane, Pablo Olivares","cross_cats":[],"headline":"","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PR","submitted_at":"2014-09-03T17:28:50Z","title":"Pricing Spread Options under Stochastic Correlation and Jump-Diffusion Models"},"references":{"count":0,"internal_anchors":0,"resolved_work":0,"sample":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1409.1175","kind":"arxiv","version":1},"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":"sha256:56546bde03c414975645e64d0ae6da47833c4c1261665f06fc8dd4901123a8de","target":"record","created_at":"2026-05-18T02:43:37Z","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":"92d46c25cc158217ed5226fc001ab9e20af69b7000962180a016542ae70ce6c0","cross_cats_sorted":[],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PR","submitted_at":"2014-09-03T17:28:50Z","title_canon_sha256":"34c3ed356f3a64287c7d996679bc0853d1e8c06b9195f402e2fdac0c72328f58"},"schema_version":"1.0","source":{"id":"1409.1175","kind":"arxiv","version":1}},"canonical_sha256":"c253c501732faf0c77890b1f49819eff3a9f17bfc7afd88afb050d713d6510ae","receipt":{"algorithm":"ed25519","builder_version":"pith-number-builder-2026-05-17-v1","canonical_sha256":"c253c501732faf0c77890b1f49819eff3a9f17bfc7afd88afb050d713d6510ae","first_computed_at":"2026-05-18T02:43:37.507362Z","key_id":"pith-v1-2026-05","kind":"pith_receipt","last_reissued_at":"2026-05-18T02:43:37.507362Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","receipt_version":"0.3","signature_b64":"vkd0wkwoKfKL84NrAxShdDpXLlEjcweomY82hcujWD+BLQmRQnH0ijhj8ryM31SWz+3uIwVSEoXQrtq43C5NBw==","signature_status":"signed_v1","signed_at":"2026-05-18T02:43:37.507996Z","signed_message":"canonical_sha256_bytes"},"source_id":"1409.1175","source_kind":"arxiv","source_version":1}}},"equivocations":[],"invalid_events":[],"applied_event_ids":["sha256:56546bde03c414975645e64d0ae6da47833c4c1261665f06fc8dd4901123a8de","sha256:5ff15f329fc3276dfd46d8ee6addfea39ad17bc91e293c0dfb70a5a26a94c70e"],"state_sha256":"fc9c28f912ebf642fff8b69f5a9706495b9d414d624b4beda8704ab7a8a088fe"}