2 papers
q-fin.MF2025
A G-BSDE approach to the long-term decomposition of robust pricing kernels
Jaehyun Kim, Hyungbin Park
This study proposes a BSDE approach to the long-term decomposition of pricing kernels under the G-expectation framework. We establish the existence, uniqueness, and regularity of s…
q-fin.MF2025
Designing funding rates for perpetual futures in cryptocurrency markets
Jaehyun Kim, Hyungbin Park
In cryptocurrency markets, a key challenge for perpetual future issuers is maintaining alignment between the perpetual future price and target value. This study addresses this chal…