论文标题
分散市场中集中流动性提供无常损失的静态复制
Static Replication of Impermanent Loss for Concentrated Liquidity Provision in Decentralised Markets
论文作者
论文摘要
本文在分析上表征了分散市场（例如UNISWAP）中自动做市商集中流动性提供的无常损失。我们提出了两个静态复制公式，以通过欧洲电话的结合或在流动性供应价格间隔内支持的罢工价格组合，以造成无常损失。它通过在更流动的集中式交易所（例如Deribit）中交易加密货币期权来促进流动性提供商对对冲永久损失。数值示例说明了静态复制的惊人精度。
This article analytically characterizes the impermanent loss of concentrated liquidity provision for automatic market makers in decentralised markets such as Uniswap. We propose two static replication formulas for the impermanent loss by a combination of European calls or puts with strike prices supported on the liquidity provision price interval. It facilitates liquidity providers to hedge permanent loss by trading crypto options in more liquid centralised exchanges such as Deribit. Numerical examples illustrate the astonishing accuracy of the static replication.
