Uniswap V3, Financial Engineering, Stochastic Process, Pricing, Martingales.
used: Using the first martingale, we can obtain: And because We can deduce: Let’s continue with the second martingale: Now we know how to calculate E[τ]. Before moving on to the more difficult third martingale, let’s see what we can do now. Simplified model for V3 Suppose I am a V3 liquidity