{"record_type":"pith_number_record","schema_url":"https://pith.science/schemas/pith-number/v1.json","pith_number":"pith:2014:GX6GMS2GDUA67ISC6BUVWCA7NE","short_pith_number":"pith:GX6GMS2G","schema_version":"1.0","canonical_sha256":"35fc664b461d01efa242f0695b081f69304753afabce0e5690324b7b0c202222","source":{"kind":"arxiv","id":"1404.6792","version":4},"attestation_state":"computed","paper":{"title":"Leveraged {ETF} implied volatilities from {ETF} dynamics","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"q-fin.CP","authors_text":"Andrea Pascucci, Matthew Lorig, Tim Leung","submitted_at":"2014-04-27T17:22:28Z","abstract_excerpt":"The growth of the exhange-traded fund (ETF) industry has given rise to the trading of options written on ETFs and their leveraged counterparts {(LETFs)}. We study the relationship between the ETF and LETF implied volatility surfaces when the underlying ETF is modeled by a general class of local-stochastic volatility models. A closed-form approximation for prices is derived for European-style options whose payoff depends on the terminal value of the ETF and/or LETF. Rigorous error bounds for this pricing approximation are established. A closed-form approximation for implied volatilities is also"},"verification_status":{"content_addressed":true,"pith_receipt":true,"author_attested":false,"weak_author_claims":0,"strong_author_claims":0,"externally_anchored":false,"storage_verified":false,"citation_signatures":0,"replication_records":0,"graph_snapshot":true,"references_resolved":false,"formal_links_present":false},"canonical_record":{"source":{"id":"1404.6792","kind":"arxiv","version":4},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.CP","submitted_at":"2014-04-27T17:22:28Z","cross_cats_sorted":[],"title_canon_sha256":"3173228981abbf012280c2c6e948d6b238b1dd1d3289821284ff9c6e8b5c7846","abstract_canon_sha256":"a44f29189ff0fa21c0b22f2bdc13bb03e8cb681ce251079f0ec1d88346ef8848"},"schema_version":"1.0"},"receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-05-18T02:18:49.845277Z","signature_b64":"z2lW1p6gBdZN9CZGEKZpRUB98tPNZW0SlW59IvHdrxcmvEMcimPq9Zz7LuJq7UvCGer3kW64K6DRVb4hAiKPDQ==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"35fc664b461d01efa242f0695b081f69304753afabce0e5690324b7b0c202222","last_reissued_at":"2026-05-18T02:18:49.844674Z","signature_status":"signed_v1","first_computed_at":"2026-05-18T02:18:49.844674Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"graph_snapshot":{"paper":{"title":"Leveraged {ETF} implied volatilities from {ETF} dynamics","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"q-fin.CP","authors_text":"Andrea Pascucci, Matthew Lorig, Tim Leung","submitted_at":"2014-04-27T17:22:28Z","abstract_excerpt":"The growth of the exhange-traded fund (ETF) industry has given rise to the trading of options written on ETFs and their leveraged counterparts {(LETFs)}. We study the relationship between the ETF and LETF implied volatility surfaces when the underlying ETF is modeled by a general class of local-stochastic volatility models. A closed-form approximation for prices is derived for European-style options whose payoff depends on the terminal value of the ETF and/or LETF. Rigorous error bounds for this pricing approximation are established. A closed-form approximation for implied volatilities is also"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1404.6792","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":""},"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"},"aliases":[{"alias_kind":"arxiv","alias_value":"1404.6792","created_at":"2026-05-18T02:18:49.844758+00:00"},{"alias_kind":"arxiv_version","alias_value":"1404.6792v4","created_at":"2026-05-18T02:18:49.844758+00:00"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1404.6792","created_at":"2026-05-18T02:18:49.844758+00:00"},{"alias_kind":"pith_short_12","alias_value":"GX6GMS2GDUA6","created_at":"2026-05-18T12:28:30.664211+00:00"},{"alias_kind":"pith_short_16","alias_value":"GX6GMS2GDUA67ISC","created_at":"2026-05-18T12:28:30.664211+00:00"},{"alias_kind":"pith_short_8","alias_value":"GX6GMS2G","created_at":"2026-05-18T12:28:30.664211+00:00"}],"events":[],"event_summary":{},"paper_claims":[],"inbound_citations":{"count":0,"internal_anchor_count":0,"sample":[]},"formal_canon":{"evidence_count":0,"sample":[],"anchors":[]},"links":{"html":"https://pith.science/pith/GX6GMS2GDUA67ISC6BUVWCA7NE","json":"https://pith.science/pith/GX6GMS2GDUA67ISC6BUVWCA7NE.json","graph_json":"https://pith.science/api/pith-number/GX6GMS2GDUA67ISC6BUVWCA7NE/graph.json","events_json":"https://pith.science/api/pith-number/GX6GMS2GDUA67ISC6BUVWCA7NE/events.json","paper":"https://pith.science/paper/GX6GMS2G"},"agent_actions":{"view_html":"https://pith.science/pith/GX6GMS2GDUA67ISC6BUVWCA7NE","download_json":"https://pith.science/pith/GX6GMS2GDUA67ISC6BUVWCA7NE.json","view_paper":"https://pith.science/paper/GX6GMS2G","resolve_alias":"https://pith.science/api/pith-number/resolve?arxiv=1404.6792&json=true","fetch_graph":"https://pith.science/api/pith-number/GX6GMS2GDUA67ISC6BUVWCA7NE/graph.json","fetch_events":"https://pith.science/api/pith-number/GX6GMS2GDUA67ISC6BUVWCA7NE/events.json","actions":{"anchor_timestamp":"https://pith.science/pith/GX6GMS2GDUA67ISC6BUVWCA7NE/action/timestamp_anchor","attest_storage":"https://pith.science/pith/GX6GMS2GDUA67ISC6BUVWCA7NE/action/storage_attestation","attest_author":"https://pith.science/pith/GX6GMS2GDUA67ISC6BUVWCA7NE/action/author_attestation","sign_citation":"https://pith.science/pith/GX6GMS2GDUA67ISC6BUVWCA7NE/action/citation_signature","submit_replication":"https://pith.science/pith/GX6GMS2GDUA67ISC6BUVWCA7NE/action/replication_record"}},"created_at":"2026-05-18T02:18:49.844758+00:00","updated_at":"2026-05-18T02:18:49.844758+00:00"}