Designing stablecoins

IF 1.6 3区经济学 Q3 BUSINESS, FINANCE

Mathematical Finance Pub Date : 2024-08-29 DOI:10.1111/mafi.12445

Yizhou Cao, Min Dai, Steven Kou, Lewei Li, Chen Yang

引用次数: 0

Abstract

Existing cryptocurrencies are too volatile to be used as currencies for daily payments. Stablecoins, which are cryptocurrencies pegged to other stable financial assets such as the US dollar, are desirable for payments within blockchain networks, whereby being often called the “Holy Grail of cryptocurrency.” By using the option pricing theory and the Ethereum platform that allows running smart contracts, we design several dual‐class structures that are written on the ETH cryptocurrency and offer a fixed‐income crypto asset (Class A coin), a stablecoin (Class A′ coin) pegged to a traditional currency, and leveraged investment instruments (Class B and B′ coins). Our investigation of the values of stablecoins in the presence of jump risk and black swan‐type events shows the robustness of the design. The design has been implemented on the Ethereum platform.

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设计稳定币

现有的加密货币波动性太大，无法用作日常支付货币。稳定币是与美元等其他稳定金融资产挂钩的加密货币，是区块链网络中理想的支付货币，因此常被称为 "加密货币的圣杯"。通过利用期权定价理论和允许运行智能合约的以太坊平台，我们设计了几种以以太坊加密货币为基础的双类结构，提供固定收益加密资产（A 类币）、与传统货币挂钩的稳定币（A′类币）和杠杆投资工具（B 类币和 B′类币）。我们对稳定币在跳跃风险和黑天鹅事件下的价值进行了调查，结果显示了该设计的稳健性。该设计已在以太坊平台上实现。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Mathematical Finance 数学-数学跨学科应用

CiteScore

4.10

自引率

6.20%

发文量

审稿时长

>12 weeks

期刊介绍： Mathematical Finance seeks to publish original research articles focused on the development and application of novel mathematical and statistical methods for the analysis of financial problems. The journal welcomes contributions on new statistical methods for the analysis of financial problems. Empirical results will be appropriate to the extent that they illustrate a statistical technique, validate a model or provide insight into a financial problem. Papers whose main contribution rests on empirical results derived with standard approaches will not be considered.