设计加密货币市场永续期货的资金费率
Designing funding rates for perpetual futures in cryptocurrency markets
AI总结：
本文研究加密货币永续期货价格与目标价值的偏离问题，利用路径依赖无限期限 BSDE 和套利定价理论设计资金费率，并给出复制对冲方案。
摘要：
在加密货币市场中，永续期货发行方面临的一项关键挑战是维持永续期货价格与目标价值之间的一致性。本研究通过探讨资金费率与永续期货价格之间的关系来应对这一挑战。结果表明，通过适当设计资金费率，永续期货价格可以与目标价值保持一致。我们为永续期货构建了复制组合，为发行方提供了一种对冲其头寸的有效方法。此外，我们提出路径依赖资金费率作为一种实用替代方案，并研究了原始资金费率与路径依赖资金费率之间的差异。为获得这些结果，本研究采用路径依赖无限期限 BSDE（倒向随机微分方程）并结合套利定价理论。主要结果通过建立这些 BSDE 解的存在性与唯一性，并分析这些解的长时间行为而得到。
英文摘要：
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.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
