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KDI 경제교육·정보센터

ENG
  • 경제배움
  • Economic

    Information

    and Education

    Center

최신자료
Perpetual Futures Pricing
NBER
2024.09.19
Perpetual futures are contracts without expiration date in which the anchoring of the futures price to the spot price is ensured by periodic funding payments from long to short. We derive explicit expressions for the no-arbitrage price of various perpetual contracts, including linear, inverse, and quantos futures in both discrete and continuous-time. In particular, we show that the futures price is given by the risk-neutral expectation of the spot sampled at a random time that reflects the intensity of the price anchoring. Furthermore, we identify funding specifications that guarantee the coincidence of futures and spot prices, and show that for such specifications perpetual futures contracts can be replicated by dynamic trading in primitive securities.