Work

Perpetual Futures Pricing

Year: 2025

Type: article

Abstract: ABSTRACT 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.

Source: Mathematical Finance

DOI: 10.1111/mafi.70018

Authors: Damien Ackerer, Julien Hugonnier, Urban Jermann

Institutions: École Polytechnique Fédérale de Lausanne, National Bureau of Economic Research

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $3,840

OpenAlex ID: W4416441166

FWCI: 2.922

Cites: 17

Cited by: 3

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