paper
Replicating Portfolios: Constructing Permissionless Derivatives
Estelle Sterrett, Waylon Jepsen, Evan Kim
Replicating Portfolios: Constructing Permissionless Derivatives
Estelle Sterrett, Waylon Jepsen, Evan Kim
Paper2022-05-19English
quantitative financearxiv
Description
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 pro...
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