发表机构
Stochastic Process, New York; Booth School of Business, University of Chicago（随机过程，纽约; 芝加哥大学布斯商学院）
机构由 AI 辅助整理，请以论文原文为准。AI 中文总结
本文统一了席勒和加密市场的永续期货设计，证明价格是基准流按资金费率折现的现值，并通过对2026年6月SpaceX上市前市场的实证，发现永续共识预测优于账簿建档发行价。
AI 中文摘要
罗伯特·席勒于1993年提出永续期货，旨在为流动性不足或价格无法直接观察的资产（如独栋住宅、人力资本和消费者价格指数）创建衍生品市场。加密货币市场后来出于不同原因并采用不同资金费率规则构建了该工具。我们给出一个统一的无套利结果，涵盖两种设计：永续价格是以资金费率折现的基准流的现值，因此资金费率规则同时决定了基准和折现率。我们给出一个随机时间变换表示，其中价格是时钟首次事件时的预期现货价格，该时钟的强度为资金费率，并利用该表示证明随机波动率仅通过持有成本影响基差，因此波动率风险溢价而非波动率本身可能打破锚定；将价格发现解读为由随机近似驱动的Doob鞅的收敛；并给出一个细分市场均衡，使上市前溢价成为结构性而非行为性现象。2026年6月的SpaceX上市前市场是该想法首次大规模应用于股权索赔，我们发现永续共识预测二级清算价格的准确性高于账簿建档发行价。最后，我们讨论了其他股权应用。
英文摘要
Robert Shiller proposed perpetual futures in 1993 to create derivative markets for assets that are illiquid or whose price cannot be observed directly, such as single family homes, human capital, and the consumer price index. The crypto markets later built the instrument for a different reason and with a different funding rule. We give a single no arbitrage result that nests both designs: the perpetual price is the present value of a benchmark flow discounted at the funding rate, so the funding rule chooses both the benchmark and the discount. We give a random time change representation in which the price is the expected spot at the first event of a clock whose intensity is the funding rate, use it to show that stochastic volatility moves the basis only through the carry, so a volatility risk premium and not volatility itself can break the peg, read price discovery as the convergence of a Doob martingale driven by a stochastic approximation, and give a segmented market equilibrium that makes the pre listing premium structural rather than behavioural. The June 2026 SpaceX pre-IPO market is the first large scale realization of the idea for an equity claim, and we find that the perpetual consensus forecast the secondary clearing price more accurately than the bookbuilt offer. We close with other equity applications.
