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Paper / 2025SMQ / 244970027792496
Modeling Loss-Versus-Rebalancing in Automated Market Makers via Continuous-Installment Options
Andreas Veneris / Jeffrey Klinck / Panagiotis Michalopoulos / Reina Ke Xin Li / Samuel Gaskin / Srisht Fateh Singh / Yuntao Wu / Zissis Poulos
derivatives / mathematical financeResource overview

Modeling Loss-Versus-Rebalancing in Automated Market Makers via Continuous-Installment Options

Paper2025

by Andreas Veneris, Jeffrey Klinck, Panagiotis Michalopoulos, Reina Ke Xin Li, Samuel Gaskin, Srisht Fateh Singh, Yuntao Wu, Zissis Poulos

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derivativesmathematical financeoption pricing

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  2. Market Model and Risk-Neutral Valuation

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  1. The Black-Scholes PDE, Formula and Implied Volatility

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