Exchange traded contracts for difference: Design, pricing, and effects

Christine Brown, Jonathan Dark and Kevin Davis

Journal of Futures Markets, 2010, vol. 30, issue 12, 1108-1149

Abstract: Contracts for Difference (CFDs) are a significant financial innovation in the design of futures contracts. Over‐the‐counter trading in the UK is significant and has created controversy, but there is no published academic research into the design, pricing, and effects of CFDs. This study analyzes CFD contract design and pricing. It uses a unique database of trades and quotes on exchange traded equity CFDs introduced by the Australian Securities Exchange to test theoretical pricing relationships, and draws out implications for successful design and trading arrangements for the introduction of new derivative contracts. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark

Date: 2010
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