Evaluation of Equity-linked structured products and pricing

Main Article Content

Chaitali Kotadia


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.


Download data is not yet available.

Article Details

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
Author Biography

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

Sr. Finance Analyst


Baubonis, C., Gastineau, G.L., Purcell, D., 1993. The banker’s guide to equity-linked certificates of deposit. The Journal of Derivatives 1 (Winter), 87–95.

Chen, A.H., Kensinger, J.W., 1990. An analysis of market-index certificates of deposit. Journal of Financial Services Research 4 (2), 93–110.

Chen, K.C., Sears, R.S., 1990. Pricing the SPIN. Financial Management 19 (2, Summer), 36–47.

Das, S., 2000. Structured Products and Hybrid Securities, second ed. New York.

Despite Record $50 Billion in 2005, Structured Products Remain ‘Wall Street’s Best Kept Secret’,” SPA Chairman’s Letter, February 2006, p. 1,2.

‘Financial Instruments –The Structured Products Handbook’ Oesterreichische National bank


Pavel A. Stoimenov, Sascha Wilkens., 2004. Are structured products fairly priced? An analysis of the German market for equity-linked instruments. Journal of Banking & Finance 29 (2005) 2971–2993.


E. G. Haug, “The Complete Guide to Option Pricing Formulas”, 1997, McGraw-Hill,( p. 96,97)

Wasserfallen, W., Schenk, C., 1996. Portfolio insurance for the small investor in Switzerland. The Journal of Derivatives 3 (Spring), 37–43.

The Monte Carlo Method 1st Edition, The Method of statistical Trials,Yu.A.Shreider,1966,(P67-72)

Levy,1992 Levy, E.(1992). Pricing European average rate currency options. Journal of International Money and Finance,11:474-491.


Hammersley, J. M., D. C. Handscomb: Monte Carlo Methods. Methuen & Co., London, and John Wiley & Sons, New York, 1964. VII + 178 S., Preis: 25 s

Monte Carlo, Concepts, Algorithms, and Applications, Authors Fishman, George(1973-P.91,92)


Turnbull, S., & Wakeman, L. (1991). A Quick Algorithm for Pricing European Average Options. Journal of Financial and Quantitative Analysis, 26, 377-389.