Weighted variance swaps hedge against impermanent loss

DOI10.1080/14697688.2023.2202708OpenAlexW4378472302MaRDI QIDQ6166206FDOQ6166206

Authors: Masaaki Fukasawa, Marcus Wunsch 

Publication date: 2 August 2023

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2023.2202708

Recommendations

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• Volatility-invariant hedging

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Title not available (Why is that?)
• On the density of log-spot in the Heston volatility model
• VOLATILITY DERIVATIVES AND MODEL-FREE IMPLIED LEVERAGE
• Optimal fees for geometric mean market makers
• Blockchain and Distributed Ledgers

Cited In (3)

• Predictable Losses of Liquidity Provision in Constant Function Markets and Concentrated Liquidity Markets
• Wombat—An Efficient Stableswap Algorithm
• Static replication of impermanent loss for concentrated liquidity provision in decentralised markets

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