{"bundle_type":"pith_open_graph_bundle","bundle_version":"1.0","pith_number":"pith:2018:7L3LKKLYWKRLEXZ6ILXT73GGWH","short_pith_number":"pith:7L3LKKLY","canonical_record":{"source":{"id":"1804.03975","kind":"arxiv","version":4},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.CP","submitted_at":"2018-04-11T13:31:13Z","cross_cats_sorted":["cs.NA","math.NA"],"title_canon_sha256":"0efc75758243b1dd73547376e1f3766c7726b666d41833cc78310570d5285fdf","abstract_canon_sha256":"45c81cffbd44fa46ca3c73a673a772c69c33ee777d3a7395c429e4acec6673ee"},"schema_version":"1.0"},"canonical_sha256":"faf6b52978b2a2b25f3e42ef3fecc6b1e1698d1cb42d4c1169dd322e5b7e60c4","source":{"kind":"arxiv","id":"1804.03975","version":4},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1804.03975","created_at":"2026-06-04T19:11:47Z"},{"alias_kind":"arxiv_version","alias_value":"1804.03975v4","created_at":"2026-06-04T19:11:47Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1804.03975","created_at":"2026-06-04T19:11:47Z"},{"alias_kind":"pith_short_12","alias_value":"7L3LKKLYWKRL","created_at":"2026-06-04T19:11:47Z"},{"alias_kind":"pith_short_16","alias_value":"7L3LKKLYWKRLEXZ6","created_at":"2026-06-04T19:11:47Z"},{"alias_kind":"pith_short_8","alias_value":"7L3LKKLY","created_at":"2026-06-04T19:11:47Z"}],"events":[{"event_type":"record_created","subject_pith_number":"pith:2018:7L3LKKLYWKRLEXZ6ILXT73GGWH","target":"record","payload":{"canonical_record":{"source":{"id":"1804.03975","kind":"arxiv","version":4},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.CP","submitted_at":"2018-04-11T13:31:13Z","cross_cats_sorted":["cs.NA","math.NA"],"title_canon_sha256":"0efc75758243b1dd73547376e1f3766c7726b666d41833cc78310570d5285fdf","abstract_canon_sha256":"45c81cffbd44fa46ca3c73a673a772c69c33ee777d3a7395c429e4acec6673ee"},"schema_version":"1.0"},"canonical_sha256":"faf6b52978b2a2b25f3e42ef3fecc6b1e1698d1cb42d4c1169dd322e5b7e60c4","receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-06-04T19:11:47.006778Z","signature_b64":"cvpPcJUyD5GvxbN9PDuHXOYsNbMdoSeoNjMj8qhfQCv90L2PvOI1fB/4v9HCsW7ku3zldRN0CK9yLgouUzq4Ag==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"faf6b52978b2a2b25f3e42ef3fecc6b1e1698d1cb42d4c1169dd322e5b7e60c4","last_reissued_at":"2026-06-04T19:11:47.006221Z","signature_status":"signed_v1","first_computed_at":"2026-06-04T19:11:47.006221Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"source_kind":"arxiv","source_id":"1804.03975","source_version":4,"attestation_state":"computed"},"signer":{"signer_id":"pith.science","signer_type":"pith_registry","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"created_at":"2026-06-04T19:11:47Z","supersedes":[],"prev_event":null,"signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"wbKzml/2e8IzR/DJoYdzWbrxdljeXXX8vCkFLf+nul6q3azpY6Sv7r9Lo1AFCuJS/8d7q8LbKdMURwTaw7uwCw==","signed_message":"open_graph_event_sha256_bytes","signed_at":"2026-06-20T18:17:14.054902Z"},"content_sha256":"1b5480df6cb8167da4b4a1f45c6bc48b7fc82a420ddd33720e45b44760d68385","schema_version":"1.0","event_id":"sha256:1b5480df6cb8167da4b4a1f45c6bc48b7fc82a420ddd33720e45b44760d68385"},{"event_type":"graph_snapshot","subject_pith_number":"pith:2018:7L3LKKLYWKRLEXZ6ILXT73GGWH","target":"graph","payload":{"graph_snapshot":{"paper":{"title":"Monte Carlo pathwise sensitivities for barrier options","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["cs.NA","math.NA"],"primary_cat":"q-fin.CP","authors_text":"Bastian Harrach, Daniel Roth, Thomas Gerstner","submitted_at":"2018-04-11T13:31:13Z","abstract_excerpt":"The Monte Carlo pathwise sensitivities approach is well established for smooth payoff functions. In this work, we present a new Monte Carlo algorithm that is able to calculate the pathwise sensitivities for discontinuous payoff functions. Our main tool is to combine the one-step survival idea of Glasserman and Staum with the stable differentiation approach of Alm, Harrach, Harrach and Keller. As an application we use the derived results for a two-dimensional calibration of a CoCo-Bond, which we model with different types of discretely monitored barrier options."},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1804.03975","kind":"arxiv","version":4},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"integrity":{"clean":true,"summary":{"advisory":0,"critical":0,"by_detector":{},"informational":0},"endpoint":"/pith/1804.03975/integrity.json","findings":[],"available":true,"detectors_run":[],"snapshot_sha256":"c28c3603d3b5d939e8dc4c7e95fa8dfce3d595e45f758748cecf8e644a296938"},"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":"2026-06-04T19:11:47Z","supersedes":[],"prev_event":null,"signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"x0QAcS4OjYsFU7i5lip2qHBwVzTUy0AMyRsq8l3kBuEanKX8n9D94+TFCIeH4Wd5pXVwcSBguY2gUchXzhehCA==","signed_message":"open_graph_event_sha256_bytes","signed_at":"2026-06-20T18:17:14.055274Z"},"content_sha256":"b3dec1ffffde1530ea35c9753b940a3d1f23f331cb67df010dd6dab7d83724cb","schema_version":"1.0","event_id":"sha256:b3dec1ffffde1530ea35c9753b940a3d1f23f331cb67df010dd6dab7d83724cb"}],"timestamp_proofs":[],"mirror_hints":[{"mirror_type":"https","name":"Pith Resolver","base_url":"https://pith.science","bundle_url":"https://pith.science/pith/7L3LKKLYWKRLEXZ6ILXT73GGWH/bundle.json","state_url":"https://pith.science/pith/7L3LKKLYWKRLEXZ6ILXT73GGWH/state.json","well_known_bundle_url":"https://pith.science/.well-known/pith/7L3LKKLYWKRLEXZ6ILXT73GGWH/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":"2026-06-20T18:17:14Z","links":{"resolver":"https://pith.science/pith/7L3LKKLYWKRLEXZ6ILXT73GGWH","bundle":"https://pith.science/pith/7L3LKKLYWKRLEXZ6ILXT73GGWH/bundle.json","state":"https://pith.science/pith/7L3LKKLYWKRLEXZ6ILXT73GGWH/state.json","well_known_bundle":"https://pith.science/.well-known/pith/7L3LKKLYWKRLEXZ6ILXT73GGWH/bundle.json"},"state":{"state_type":"pith_open_graph_state","state_version":"1.0","pith_number":"pith:2018:7L3LKKLYWKRLEXZ6ILXT73GGWH","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":"45c81cffbd44fa46ca3c73a673a772c69c33ee777d3a7395c429e4acec6673ee","cross_cats_sorted":["cs.NA","math.NA"],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.CP","submitted_at":"2018-04-11T13:31:13Z","title_canon_sha256":"0efc75758243b1dd73547376e1f3766c7726b666d41833cc78310570d5285fdf"},"schema_version":"1.0","source":{"id":"1804.03975","kind":"arxiv","version":4}},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1804.03975","created_at":"2026-06-04T19:11:47Z"},{"alias_kind":"arxiv_version","alias_value":"1804.03975v4","created_at":"2026-06-04T19:11:47Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1804.03975","created_at":"2026-06-04T19:11:47Z"},{"alias_kind":"pith_short_12","alias_value":"7L3LKKLYWKRL","created_at":"2026-06-04T19:11:47Z"},{"alias_kind":"pith_short_16","alias_value":"7L3LKKLYWKRLEXZ6","created_at":"2026-06-04T19:11:47Z"},{"alias_kind":"pith_short_8","alias_value":"7L3LKKLY","created_at":"2026-06-04T19:11:47Z"}],"graph_snapshots":[{"event_id":"sha256:b3dec1ffffde1530ea35c9753b940a3d1f23f331cb67df010dd6dab7d83724cb","target":"graph","created_at":"2026-06-04T19:11:47Z","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"},"integrity":{"available":true,"clean":true,"detectors_run":[],"endpoint":"/pith/1804.03975/integrity.json","findings":[],"snapshot_sha256":"c28c3603d3b5d939e8dc4c7e95fa8dfce3d595e45f758748cecf8e644a296938","summary":{"advisory":0,"by_detector":{},"critical":0,"informational":0}},"paper":{"abstract_excerpt":"The Monte Carlo pathwise sensitivities approach is well established for smooth payoff functions. In this work, we present a new Monte Carlo algorithm that is able to calculate the pathwise sensitivities for discontinuous payoff functions. Our main tool is to combine the one-step survival idea of Glasserman and Staum with the stable differentiation approach of Alm, Harrach, Harrach and Keller. As an application we use the derived results for a two-dimensional calibration of a CoCo-Bond, which we model with different types of discretely monitored barrier options.","authors_text":"Bastian Harrach, Daniel Roth, Thomas Gerstner","cross_cats":["cs.NA","math.NA"],"headline":"","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.CP","submitted_at":"2018-04-11T13:31:13Z","title":"Monte Carlo pathwise sensitivities for barrier options"},"references":{"count":0,"internal_anchors":0,"resolved_work":0,"sample":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1804.03975","kind":"arxiv","version":4},"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":"sha256:1b5480df6cb8167da4b4a1f45c6bc48b7fc82a420ddd33720e45b44760d68385","target":"record","created_at":"2026-06-04T19:11:47Z","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":"45c81cffbd44fa46ca3c73a673a772c69c33ee777d3a7395c429e4acec6673ee","cross_cats_sorted":["cs.NA","math.NA"],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.CP","submitted_at":"2018-04-11T13:31:13Z","title_canon_sha256":"0efc75758243b1dd73547376e1f3766c7726b666d41833cc78310570d5285fdf"},"schema_version":"1.0","source":{"id":"1804.03975","kind":"arxiv","version":4}},"canonical_sha256":"faf6b52978b2a2b25f3e42ef3fecc6b1e1698d1cb42d4c1169dd322e5b7e60c4","receipt":{"algorithm":"ed25519","builder_version":"pith-number-builder-2026-05-17-v1","canonical_sha256":"faf6b52978b2a2b25f3e42ef3fecc6b1e1698d1cb42d4c1169dd322e5b7e60c4","first_computed_at":"2026-06-04T19:11:47.006221Z","key_id":"pith-v1-2026-05","kind":"pith_receipt","last_reissued_at":"2026-06-04T19:11:47.006221Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","receipt_version":"0.3","signature_b64":"cvpPcJUyD5GvxbN9PDuHXOYsNbMdoSeoNjMj8qhfQCv90L2PvOI1fB/4v9HCsW7ku3zldRN0CK9yLgouUzq4Ag==","signature_status":"signed_v1","signed_at":"2026-06-04T19:11:47.006778Z","signed_message":"canonical_sha256_bytes"},"source_id":"1804.03975","source_kind":"arxiv","source_version":4}}},"equivocations":[],"invalid_events":[],"applied_event_ids":["sha256:1b5480df6cb8167da4b4a1f45c6bc48b7fc82a420ddd33720e45b44760d68385","sha256:b3dec1ffffde1530ea35c9753b940a3d1f23f331cb67df010dd6dab7d83724cb"],"state_sha256":"db50b142b35453292f7fd8a0f33c80c8f6c8853ecf69d73f0fbda82831773fc7"},"bundle_signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"KxDSn9MsenLBOdYe43w/52phUoSaJNo7Iw7LTfM/YtyN0qdOOhMa0mo3eJxWi9FUYYmY3OB6Lii1La0hO837BA==","signed_message":"bundle_sha256_bytes","signed_at":"2026-06-20T18:17:14.057251Z","bundle_sha256":"bac1bacd7d573312b9ba93659277fc9a0e8f8adb429f6359c941f248b64fd998"}}