Pré-Publication, Document De Travail Année : 2023

Pricing and Hedging Guaranteed Equity Securities

David Lee
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Résumé

Equity-linked securities with a guaranteed return gain popularity in financial market. The contract depends on the performance of a basket of equity components averaged over a certain period, and also guarantees the investor a minimum return. This paper presents a new method for valuing the guaranteed equity-linked securities. We compute the security's price, corresponding hedge ratios, and risk sensitivities. The model appears to be accurate over a wide range of underlying security parameters, based on numerical studies.

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Dates et versions

hal-04140384 , version 1 (25-06-2023)

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  • HAL Id : hal-04140384 , version 1

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David Lee. Pricing and Hedging Guaranteed Equity Securities. 2023. ⟨hal-04140384⟩
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