Designing funding rates for perpetual futures in cryptocurrency markets
Fuente:
arXiv
Enregistré dans:
| Auteurs principaux: | , |
|---|---|
| Format: | Preprint |
| Publié: |
2025
|
| Sujets: | |
| Accès en ligne: | |
| Tags: |
Ajouter un tag
Pas de tags, Soyez le premier à ajouter un tag!
|
| _version_ | 1866908402093916160 |
|---|---|
| author | Kim, Jaehyun Park, Hyungbin |
| author_facet | Kim, Jaehyun Park, Hyungbin |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2506_08573 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Designing funding rates for perpetual futures in cryptocurrency markets Kim, Jaehyun Park, Hyungbin Mathematical Finance Pricing of Securities 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. |
| title | Designing funding rates for perpetual futures in cryptocurrency markets |
| topic | Mathematical Finance Pricing of Securities |
| url | https://arxiv.org/abs/2506.08573 |