Perpetual Futures Pricing
研究了永续期货的定价，推导出线性、反向和双币种永续期货在离散和连续时间下的无套利价格公式，并展示了如何通过动态交易复制这些合约。
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.