Study Of The Design And Pricing Of The Equity Linked Notes

With the rapid development of the global economy and the acceleration of the process of world economic integration, the capital market plays an increasingly important role in national economic development. Its development has become an important measurable indicator of a country's comprehensive strength, and its safety and soundness have become the main goals of the economic reform and development. So State Department has made it clear in "views on promoting reform and opening-up and stable development of the capital market", that we should research and develop new varieties with stocks and bonds and their derivative products to providing investors new investment securities for saving substitutions. Equity Linked Notes is such a new investment product both in line with our policy and needs of investors, the SSE is preparing such products currently and expecting to promote them immediately following the stock index futures. However, there are very few academic studies on the mainland, and the code is also blank. Therefore, from the point of the issuer, this paper studies the design and pricing of Equity Linked Notes with a view to promote their development and improve the capital market on the mainland.The full text is divided into six chapters. The first chapter is the introduction, it states the topic background, purpose and significance, and summarizes the relevant literature, and analyzes the research trend, all these lay more solid foundation for the whole research. Chapter II is the analysis of Equity Linked Notes, which explaining the elements, structure, characteristics and mode of operation and transaction process, laying strong theoretical foundation for follow-up research. Chapter III researches its design, with the hedging and profitability penetrating in the entire designing process discusses the various elements of the design. Chapter IV is about the pricing, which analyses ways of the theoretical value determinations according to the product mix and factors including the mechanisms affecting market prices according to the code operation. V for simulation, two types of instruments is designed and different methods are used in pricing. Chapter VI from the height of improving Chinese capital markets, analyzes the conditions of launching systematically, and gives policy recommendations about such business. Finally the conclusions and outlook, sorts out and reiterates the results and conclusions of this study, and prospects the follow-up research. The innovation point of this paper is that, it studies the design and pricing of Equity Linked Notes from the perspective of the issuer in close connection with the practical operating points, not just researches the theoretical value, but also explores the market price under various practical factors, including the affecting mechanisms to market prices of such different macro and micro factors. Most previous studies remains to determine the theoretical value, but less refer to its guiding role in practical operating. Thus this study not only has theoretical and practical significance to the issuance of the Equity Linked Notes in mainland, but also be of great theoretical significance in strengthening the financial product innovation and promoting the capital market further improvement.