arXiv q-fin· Diogo Duarte, Lucas X. Ferreira, Emmanuel Gobet, Yuri F. Saporito·· 6 hr agoAI Score47
The Term Structure of Liquidity Pool Implied Fees
The Term Structure of Implied Fee Rates in Liquidity Pools
AI summary
The paper constructs a no-arbitrage framework to extract implied fees from option-implied information, quantifying fee compensation for liquidity providers in automated market maker (AMM) pools. The framework is applied to Uniswap v2 and Uniswap v3 ETH-USDC pools, using a stochastic volatility jump-diffusion model calibrated to Deribit options. The study finds implied fees are positive, time-varying, downward-sloping in term structure, and highly sensitive to range design, with narrower ranges closer to the strike yielding higher implied returns.
Source:arXiv q-fin · arxiv.org