no code implementations • 6 Sep 2024 • Lukasz Szpruch, Marc Sabaté Vidales, Tanut Treetanthiploet, Yufei Zhang
The loan-to-value at which the contract is initiated determines the option premium borrowers pay for entering the contract, and this can be deduced from the non-arbitrage pricing theory.
1 code implementation • 8 Feb 2023 • samuel cohen, Marc Sabaté Vidales, David Šiška, Łukasz Szpruch
We investigate whether the fee income from trades on the CFM is sufficient for the liquidity providers to hedge away the exposure to market risk.
