TL;DRUni v3 LP positions can be decomposed into a short put payoff and a range component.The value of a Uni v3 position is the sum of 1) a short put, whose value is given by the Black-Scholes model, and 2) a range term, whose closed-form expression is found using the Feynman-Kac formula.This can be simplified further by converting the Uni v3 LP position into a “fixed-DTE” put option whose value at expiration converges to a put option at time T_r > 0 .*Comparing the expected returns and the op...
