Perpetual Futures in NFTs

10 Pages Posted: 2 Aug 2023 Last revised: 5 Aug 2023

See all articles by Kristof Lommers

Kristof Lommers

University of Oxford, Said Business School

Jack Kim

Stanford University - Department of Management Science & Engineering

Boris Skidan

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Viktor Smits

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Date Written: July 29, 2023

Abstract

This study discusses a pricing framework for perpetual futures in collection-based Non-Fungible Tokens (NFTs) which represent unique digital assets in a low liquidity and high price volatility environment. The collection could be viewed as the broad family to which an NFT belongs and the NFTs within the collection are interconnected where they exhibit systematic co-movements. For the perpetual futures pricing we leverage that collection-based NFTs have substantial exposure to the collection they belong to. We discuss both pricing of perpetual and power perpetual futures where we discuss two different model approaches. One approach uses the conventional pricing methodology on NFT indices and another approach leverages on defining the closed-form NFT price process.

Suggested Citation

Lommers, Kristof and Kim, Jack and Skidan, Boris and Smits, Viktor, Perpetual Futures in NFTs (July 29, 2023). Available at SSRN: https://ssrn.com/abstract=4525785 or http://dx.doi.org/10.2139/ssrn.4525785

Kristof Lommers (Contact Author)

University of Oxford, Said Business School ( email )

Oxford, OX1 5NY
United Kingdom

Jack Kim

Stanford University - Department of Management Science & Engineering ( email )

473 Via Ortega
Stanford, CA 94305-9025
United States

Boris Skidan

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Viktor Smits

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