论文标题
复制投资组合：构建无许可衍生物
Replicating Portfolios: Constructing Permissionless Derivatives
论文作者
论文摘要
分散融资（DEFI）中衍生品的当前设计空间在很大程度上取决于Oracle系统。复制做市商（RMMS）提供了将特定收益功能转换为相关恒定功能做市商（CFMM）的机制。我们利用RMM来复制覆盖呼叫选项的大约收益。 RMM-01是依赖于套利而不是外部甲骨文的链上到期期权机制的首次实现。我们为衍生工具和结构化产品提供框架，而无需依靠甲板。我们构建了漫长的二进制选项，并简要讨论通常称为“ Theta Vaults”的永久覆盖呼叫策略。此外，我们引入了一项程序，以消除贷款市场中的清算风险。结果表明，CFMM对于具有最小信任依赖性的结构化产品设计至关重要。
The current design space of derivatives in Decentralized Finance (DeFi) relies heavily on oracle systems. Replicating market makers (RMMs) provide a mechanism for converting specific payoff functions to an associated Constant Function Market Makers (CFMMs). We leverage RMMs to replicate the approximate payoff of a Black-Scholes covered call option. RMM-01 is the first implementation of an on-chain expiring option mechanism that relies on arbitrage rather than an external oracle for price. We provide frameworks for derivative instruments and structured products achievable on-chain without relying on oracles. We construct long and binary options and briefly discuss perpetual covered call strategies commonly referred to as "theta vaults." Moreover, we introduce a procedure to eliminate liquidation risk in lending markets. The results suggest that CFMMs are essential for structured product design with minimized trust dependencies.
