Option Pricing on Automated Market Maker Tokens
Market making in volatility and options, studied by Maymin in 2026 with a mathematical derivation. The abstract does not mention a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“Empirically, after controlling for pool depth and flow volatility, realized return variance across 90 Bittensor subnets exhibits a strongly negative price elasticity, decisively rejecting geometric Brownian motion and consistent with the CEV prediction.”
AssetVolatility and optionsoptions
StrategyMarket makingoptions strategies
TechniqueMathematical derivation
GeographyEurope
Also stated: Options-implied
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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