{"bundle_type":"pith_open_graph_bundle","bundle_version":"1.0","pith_number":"pith:2014:4W5YBPLZXYZNY6K3XY4ZPTOREG","short_pith_number":"pith:4W5YBPLZ","canonical_record":{"source":{"id":"1410.1426","kind":"arxiv","version":1},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.MF","submitted_at":"2014-10-06T16:04:22Z","cross_cats_sorted":["math.PR","q-fin.GN","q-fin.PR","q-fin.TR"],"title_canon_sha256":"6855ab22acbd804ec8737d51ae8a21e1b3c5c38bd4c406a91f8a2e80aa9caed2","abstract_canon_sha256":"da168aabf7e6b15b07b65c354ee41026252172c0183ac95077fe5f6bcf6dcf89"},"schema_version":"1.0"},"canonical_sha256":"e5bb80bd79be32dc795bbe3997cdd1219593fef552af60ef26437bda52d3e05f","source":{"kind":"arxiv","id":"1410.1426","version":1},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1410.1426","created_at":"2026-05-18T02:41:02Z"},{"alias_kind":"arxiv_version","alias_value":"1410.1426v1","created_at":"2026-05-18T02:41:02Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1410.1426","created_at":"2026-05-18T02:41:02Z"},{"alias_kind":"pith_short_12","alias_value":"4W5YBPLZXYZN","created_at":"2026-05-18T12:28:14Z"},{"alias_kind":"pith_short_16","alias_value":"4W5YBPLZXYZNY6K3","created_at":"2026-05-18T12:28:14Z"},{"alias_kind":"pith_short_8","alias_value":"4W5YBPLZ","created_at":"2026-05-18T12:28:14Z"}],"events":[{"event_type":"record_created","subject_pith_number":"pith:2014:4W5YBPLZXYZNY6K3XY4ZPTOREG","target":"record","payload":{"canonical_record":{"source":{"id":"1410.1426","kind":"arxiv","version":1},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.MF","submitted_at":"2014-10-06T16:04:22Z","cross_cats_sorted":["math.PR","q-fin.GN","q-fin.PR","q-fin.TR"],"title_canon_sha256":"6855ab22acbd804ec8737d51ae8a21e1b3c5c38bd4c406a91f8a2e80aa9caed2","abstract_canon_sha256":"da168aabf7e6b15b07b65c354ee41026252172c0183ac95077fe5f6bcf6dcf89"},"schema_version":"1.0"},"canonical_sha256":"e5bb80bd79be32dc795bbe3997cdd1219593fef552af60ef26437bda52d3e05f","receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-05-18T02:41:02.123071Z","signature_b64":"HlzG5bo64BZbKIbZQSQxpGGgQgX2gOg1wcOQK9+HBYZqs91pOSiGJGEL5jgnm9Ha/5P6pLVTq2zjisDaT8FfAA==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"e5bb80bd79be32dc795bbe3997cdd1219593fef552af60ef26437bda52d3e05f","last_reissued_at":"2026-05-18T02:41:02.122524Z","signature_status":"signed_v1","first_computed_at":"2026-05-18T02:41:02.122524Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"source_kind":"arxiv","source_id":"1410.1426","source_version":1,"attestation_state":"computed"},"signer":{"signer_id":"pith.science","signer_type":"pith_registry","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"created_at":"2026-05-18T02:41:02Z","supersedes":[],"prev_event":null,"signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"j1LA0sK8itjGuj/oRVsmE3D7WGvTtrRTZ42wVzkG0RBdKKk6qNejNAR4qsWvWTu6Gh/u3ozbzN7NEyNzla/qAg==","signed_message":"open_graph_event_sha256_bytes","signed_at":"2026-06-22T02:18:03.164481Z"},"content_sha256":"ecc10aa17e3dc4d5b1de3a608fe40b110832f4d4a633926ffa080c3e975ce234","schema_version":"1.0","event_id":"sha256:ecc10aa17e3dc4d5b1de3a608fe40b110832f4d4a633926ffa080c3e975ce234"},{"event_type":"graph_snapshot","subject_pith_number":"pith:2014:4W5YBPLZXYZNY6K3XY4ZPTOREG","target":"graph","payload":{"graph_snapshot":{"paper":{"title":"On volatility smile and an investment strategy with out-of-the-money calls","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["math.PR","q-fin.GN","q-fin.PR","q-fin.TR"],"primary_cat":"q-fin.MF","authors_text":"Jarno Talponen","submitted_at":"2014-10-06T16:04:22Z","abstract_excerpt":"A motivating question in this paper is whether a sensible investment strategy may systematically contain long positions in out-of-the-money European calls with short expiry. Here we consider a very simple trading strategy for calls. The main points of this note are the following. First, the presented trading strategy appears very lucrative in the Black-Scholes-Merton (BSM) framework. In fact, it is such even to the extent that the BSM model turns out to be, in a sense, incompatible with the CAPM. Second, if one wishes to adapt these models together, then the adjustment of the consistent pricin"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1410.1426","kind":"arxiv","version":1},"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":"2026-05-18T02:41:02Z","supersedes":[],"prev_event":null,"signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"8JWqExM7iFsgHU0+Ill06vZnqxvtwRiP1itLRwetKWwI57vJkJ4R3CJckjXj5zmxw/qApfwmSgWACTI7vz8kBA==","signed_message":"open_graph_event_sha256_bytes","signed_at":"2026-06-22T02:18:03.164824Z"},"content_sha256":"aa316dbf4f76fb7c4ca142d51b806cd65138e397368d9564490eefd1b7fbef6c","schema_version":"1.0","event_id":"sha256:aa316dbf4f76fb7c4ca142d51b806cd65138e397368d9564490eefd1b7fbef6c"}],"timestamp_proofs":[],"mirror_hints":[{"mirror_type":"https","name":"Pith Resolver","base_url":"https://pith.science","bundle_url":"https://pith.science/pith/4W5YBPLZXYZNY6K3XY4ZPTOREG/bundle.json","state_url":"https://pith.science/pith/4W5YBPLZXYZNY6K3XY4ZPTOREG/state.json","well_known_bundle_url":"https://pith.science/.well-known/pith/4W5YBPLZXYZNY6K3XY4ZPTOREG/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":"2026-06-22T02:18:03Z","links":{"resolver":"https://pith.science/pith/4W5YBPLZXYZNY6K3XY4ZPTOREG","bundle":"https://pith.science/pith/4W5YBPLZXYZNY6K3XY4ZPTOREG/bundle.json","state":"https://pith.science/pith/4W5YBPLZXYZNY6K3XY4ZPTOREG/state.json","well_known_bundle":"https://pith.science/.well-known/pith/4W5YBPLZXYZNY6K3XY4ZPTOREG/bundle.json"},"state":{"state_type":"pith_open_graph_state","state_version":"1.0","pith_number":"pith:2014:4W5YBPLZXYZNY6K3XY4ZPTOREG","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":"da168aabf7e6b15b07b65c354ee41026252172c0183ac95077fe5f6bcf6dcf89","cross_cats_sorted":["math.PR","q-fin.GN","q-fin.PR","q-fin.TR"],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.MF","submitted_at":"2014-10-06T16:04:22Z","title_canon_sha256":"6855ab22acbd804ec8737d51ae8a21e1b3c5c38bd4c406a91f8a2e80aa9caed2"},"schema_version":"1.0","source":{"id":"1410.1426","kind":"arxiv","version":1}},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1410.1426","created_at":"2026-05-18T02:41:02Z"},{"alias_kind":"arxiv_version","alias_value":"1410.1426v1","created_at":"2026-05-18T02:41:02Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1410.1426","created_at":"2026-05-18T02:41:02Z"},{"alias_kind":"pith_short_12","alias_value":"4W5YBPLZXYZN","created_at":"2026-05-18T12:28:14Z"},{"alias_kind":"pith_short_16","alias_value":"4W5YBPLZXYZNY6K3","created_at":"2026-05-18T12:28:14Z"},{"alias_kind":"pith_short_8","alias_value":"4W5YBPLZ","created_at":"2026-05-18T12:28:14Z"}],"graph_snapshots":[{"event_id":"sha256:aa316dbf4f76fb7c4ca142d51b806cd65138e397368d9564490eefd1b7fbef6c","target":"graph","created_at":"2026-05-18T02:41:02Z","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":"A motivating question in this paper is whether a sensible investment strategy may systematically contain long positions in out-of-the-money European calls with short expiry. Here we consider a very simple trading strategy for calls. The main points of this note are the following. First, the presented trading strategy appears very lucrative in the Black-Scholes-Merton (BSM) framework. In fact, it is such even to the extent that the BSM model turns out to be, in a sense, incompatible with the CAPM. Second, if one wishes to adapt these models together, then the adjustment of the consistent pricin","authors_text":"Jarno Talponen","cross_cats":["math.PR","q-fin.GN","q-fin.PR","q-fin.TR"],"headline":"","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.MF","submitted_at":"2014-10-06T16:04:22Z","title":"On volatility smile and an investment strategy with out-of-the-money calls"},"references":{"count":0,"internal_anchors":0,"resolved_work":0,"sample":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1410.1426","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:ecc10aa17e3dc4d5b1de3a608fe40b110832f4d4a633926ffa080c3e975ce234","target":"record","created_at":"2026-05-18T02:41:02Z","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":"da168aabf7e6b15b07b65c354ee41026252172c0183ac95077fe5f6bcf6dcf89","cross_cats_sorted":["math.PR","q-fin.GN","q-fin.PR","q-fin.TR"],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.MF","submitted_at":"2014-10-06T16:04:22Z","title_canon_sha256":"6855ab22acbd804ec8737d51ae8a21e1b3c5c38bd4c406a91f8a2e80aa9caed2"},"schema_version":"1.0","source":{"id":"1410.1426","kind":"arxiv","version":1}},"canonical_sha256":"e5bb80bd79be32dc795bbe3997cdd1219593fef552af60ef26437bda52d3e05f","receipt":{"algorithm":"ed25519","builder_version":"pith-number-builder-2026-05-17-v1","canonical_sha256":"e5bb80bd79be32dc795bbe3997cdd1219593fef552af60ef26437bda52d3e05f","first_computed_at":"2026-05-18T02:41:02.122524Z","key_id":"pith-v1-2026-05","kind":"pith_receipt","last_reissued_at":"2026-05-18T02:41:02.122524Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","receipt_version":"0.3","signature_b64":"HlzG5bo64BZbKIbZQSQxpGGgQgX2gOg1wcOQK9+HBYZqs91pOSiGJGEL5jgnm9Ha/5P6pLVTq2zjisDaT8FfAA==","signature_status":"signed_v1","signed_at":"2026-05-18T02:41:02.123071Z","signed_message":"canonical_sha256_bytes"},"source_id":"1410.1426","source_kind":"arxiv","source_version":1}}},"equivocations":[],"invalid_events":[],"applied_event_ids":["sha256:ecc10aa17e3dc4d5b1de3a608fe40b110832f4d4a633926ffa080c3e975ce234","sha256:aa316dbf4f76fb7c4ca142d51b806cd65138e397368d9564490eefd1b7fbef6c"],"state_sha256":"d34790acda3150a0fb5c8faa6e9ad9c5370c2c3caecfb2e4d990a322d3f5d969"},"bundle_signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"3Uv1khQyG8iFdy3R721eik5xzdRQ9JKeJw8/Yl63QSh5xqXl++ODE/6P9NLh0FsAtxpdxPeBKelPW6+x78soBQ==","signed_message":"bundle_sha256_bytes","signed_at":"2026-06-22T02:18:03.166743Z","bundle_sha256":"fa7e23a704d943af1197ea6a6bd20c0ad0ce30e86dcc4e92d418d6bc50300153"}}