Replica del valor de un pool (CPM) y hedging de perdidas impermanentes

Agust\'in Mu\~noz Gonz\'alez and Juan I. Sequeira y Ariel Dembling

Papers from arXiv.org

Abstract: 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.

Date: 2024-12
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