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

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

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.

Suggested Citation

  • Agust'in Mu~noz Gonz'alez & Juan I. Sequeira y Ariel Dembling, 2024. "Replica del valor de un pool (CPM) y hedging de perdidas impermanentes," Papers 2412.09662, arXiv.org.
    • Handle: RePEc:arx:papers:2412.09662
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    References listed on IDEAS

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    1. Breeden, Douglas T & Litzenberger, Robert H, 1978. "Prices of State-contingent Claims Implicit in Option Prices," The Journal of Business, University of Chicago Press, vol. 51(4), pages 621-651, October.
    2. Stephen A. Ross, 1976. "Options and Efficiency," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 90(1), pages 75-89.
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