跳至正文
返回文库全部文档

含资金费或折扣的永续合约定价与复制

文章 arXiv papers · 作者: Guillermo Angeris et al.
阅读原文

总结

本文研究无交易成本、连续时间且无套利的市场中的两种永续合约设计。一种设计中，多头方获得与标的资产挂钩的固定支付，并向空头方支付资金费；另一种设计中，支付金额按随时间变化的折现因子调整，且不支付资金费。在资产价格连续且严格为正的条件下，论文推导了与模型无关的资金费率和折现率表达式，以及空头方的复制策略。

随后，论文允许资产价格发生跳跃。所得费率公式不依赖标的资产的波动率动态，但取决于定价测度下的跳跃强度。当波动率与风险资产相互独立时，论文给出了一种明确的空头方复制策略。示例将这些合约与方差互换及杠杆交易所交易基金联系起来。结论依赖文中所述的理想化市场假设；跳跃情形下的结果仍取决于跳跃强度。

核心观点

  • 论文比较了支付资金费的永续合约和使用变化折现因子的合约。
  • 在价格连续且为正的条件下，论文推导了费率表达式和空头方复制策略。
  • 存在跳跃时，公式仍不依赖波动率动态，但取决于定价测度下的跳跃强度。
  • 跳跃情形下的明确复制策略要求波动率独立于风险资产。
  • 示例将永续合约与方差互换及杠杆交易所交易基金联系起来。

标签

永续合约衍生品定价波动率风险管理
全文
# A primer on perpetuals


# A primer on perpetuals









We consider a continuous-time financial market with no arbitrage and no transactions costs. In this setting, we introduce two types of perpetual contracts, one in which the payoff to the long side is a fixed function of the underlyers and the long side pays a funding rate to the short side, the other in which the payoff to the long side is a fixed function of the underlyers times a discount factor that changes over time but no funding payments are required. Assuming asset prices are continuous and strictly positive, we derive model-free expressions for the funding rate and discount rate of these perpetual contracts as well as replication strategies for the short side. When asset prices can jump, we derive expressions for the funding and discount rates, which are semi-robust in the sense that they do not depend on the dynamics of the volatility process of the underlying risky assets, but do depend on the intensity of jumps under the market's pricing measure. When asset prices can jump and the volatility process is independent of the underlying risky assets, we derive an explicit replication strategy for the short side of a perpetual contract. Throughout the paper, we illustrate through examples how specific perpetual contracts relate to traditional financial instruments such as variance swaps and leveraged exchange traded funds.

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。