Replica del valor de un pool (CPM) y hedging de perdidas impermanentes
Fuente:
arXiv
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| Autori principali: | , |
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| Natura: | Preprint |
| Pubblicazione: |
2024
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| _version_ | 1866916520521629696 |
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| author | González, Agustín Muñoz Dembling, Juan I. Sequeira y Ariel |
| author_facet | González, Agustín Muñoz Dembling, Juan I. Sequeira y Ariel |
| contents | This article analytically characterizes the impermanent loss for automatic market makers in decentralized exchanges such as Uniswap or Balancer (CPMM). We present a theoretical static replication formula for the pool value using a combination of European calls and puts. We will formulate a result to guarantee coverage for any final price that falls within a predefined range. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2412_09662 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Replica del valor de un pool (CPM) y hedging de perdidas impermanentes González, Agustín Muñoz Dembling, Juan I. Sequeira y Ariel Mathematical Finance Risk Management 91G15 This article analytically characterizes the impermanent loss for automatic market makers in decentralized exchanges such as Uniswap or Balancer (CPMM). We present a theoretical static replication formula for the pool value using a combination of European calls and puts. We will formulate a result to guarantee coverage for any final price that falls within a predefined range. |
| title | Replica del valor de un pool (CPM) y hedging de perdidas impermanentes |
| topic | Mathematical Finance Risk Management 91G15 |
| url | https://arxiv.org/abs/2412.09662 |