Fair Pricing of Equity-linked Notes
Following evidence of overpricing in structured products, I develop a comprehensive framework for pricing Equity-linked notes (ELNs). My model, unlike previous research, accounts for both the bank's actual funding costs and counterparty credit risk. I also allow for Asian payoffs in the derivative part — a feature now standard in ELN issuances. Studying a sample of eight ELNs issued by a Swedi
