MathDB3 problems
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Approximation of unconstrained delta hedging by low-fee CFMMs
A no-fee CFMM has a path-independent payoff, whereas an unconstrained, continually rebalanced delta-hedging strategy can be path-dependent and may benefit from positive theta. Cons…
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Fee mitigation of arbitrage losses for arbitrary CFMM replication
A constant-mean market maker is a particular CFMM, and the paper considers whether fees can mitigate arbitrage losses sufficiently to allow replication without additional initial c…
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Fee-based restoration of theta-decay profits for covered-call replication
A covered-call position is replicated by a no-fee CFMM whose trading function must be updated as maturity approaches, requiring additional capital because the CFMM does not capture…