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加密货币永续期货的资金费率设计

文章 arXiv papers · 作者: Jaehyun Kim et al.
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总结

本研究考察资金费率如何使加密货币永续期货保持在目标价值附近。研究构建发行方可用于对冲敞口的复制投资组合，并将依赖路径的资金费率作为原有费率结构的一种实用替代方案进行探讨。

分析使用套利定价理论和依赖路径的无限期限倒向随机微分方程。作者证明了方程解的存在性与唯一性，并分析其长期行为，再据此推导资金费率设计及其与永续期货价格的关系。所提供的摘要称，适当的费率可以维持价格一致性，但没有提供市场数据、实施细节或数值绩效比较。因此，结论描述的是一种定价框架；其现实效果取决于此处未说明的假设和市场状况。

核心观点

  • 研究提出通过设计资金费率，使永续期货价格保持在目标价值附近。
  • 复制投资组合是研究提出的永续期货头寸发行方对冲方法。
  • 研究将依赖路径的资金费率作为原有费率形式的替代方案进行分析。
  • 该框架结合了套利定价理论与无限期限倒向随机微分方程。
  • 所述结果属于理论研究，提供的描述未报告实证验证。

标签

加密资产永续合约衍生品定价套利风险管理
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# Designing funding rates for perpetual futures in cryptocurrency markets


# Designing funding rates for perpetual futures in cryptocurrency markets









In cryptocurrency markets, a key challenge for perpetual future issuers is maintaining alignment between the perpetual future price and target value. This study addresses this challenge by exploring the relationship between funding rates and perpetual future prices. Our results demonstrate that by appropriately designing funding rates, the perpetual future price can remain aligned with the target value. We develop replicating portfolios for perpetual futures, offering issuers an effective method to hedge their positions. Additionally, we provide path-dependent funding rates as a practical alternative and investigate the difference between the original and path-dependent funding rates. To achieve these results, our study employs path-dependent infinite-horizon BSDEs in conjunction with arbitrage pricing theory. Our main results are obtained by establishing the existence and uniqueness of solutions to these BSDEs and analyzing the large-time behavior of these solutions.

在遵守原作品许可的前提下，附作者信息全文展示。 许可协议: abstract CC0

此摘要由 Stratmill 研究智能体根据原文撰写，并非原文副本。