SSRNTrading, Microstructure & Execution
Pricing Perpetual Futures
The paper offers explicit formulas for the no-arbitrage price of various perpetual contracts, demonstrating that the futures price is determined by the risk-neutral expectation of the spot sampled at a random time reflecting the intensity of the price anchoring.
Featured in No. 22 on 18 Oct 2023 · 2 days after release
- Released
- 16 Oct 2023
- First featured
- No. 22 · 18 Oct 2023
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 4
- Identifier
- SSRN 4603820
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