Evaluation of Equity-linked structured products and pricing

Authors

  • Chaitali Kotadia MSD(UK)Ltd, Finance Department,London

DOI:

https://doi.org/10.31686/ijier.vol9.iss1.2902

Keywords:

Structured products, Pricing, Option, Implied Volatility

Abstract

Based on a unique data set, this research paper examines the pricing of equity-linked structured products in the market. The following section of this paper look at examining a few popular products available in the market, describing their key characteristics, and identifying one such product which will be examined closely for the purposes of determining if the issuing institution has priced the same fairly. The daily closing prices of a large variety of structured products are compared to theoretical values derived from the prices of options traded on the Eurex (European Exchange). This research paper also provides a brief background on the pricing of equity-linked structured products (‘products’) and issues around valuation of these products and look in detail fair pricing of the zero-coupon bond and the basket option. Comparing this with the market price of the instrument I could draw conclusions based on how close the real market price of the instrument is with the recomputed price.

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Author Biography

Chaitali Kotadia, MSD(UK)Ltd, Finance Department,London

Sr. Finance Analyst

References

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Published

2021-01-01
CITATION
DOI: 10.31686/ijier.vol9.iss1.2902

How to Cite

Kotadia, C. (2021). Evaluation of Equity-linked structured products and pricing. International Journal for Innovation Education and Research, 9(1), 314–335. https://doi.org/10.31686/ijier.vol9.iss1.2902
Received 2020-12-15
Accepted 2021-01-05
Published 2021-01-01