Garanterede investeringer i skiftende markeder: En empirisk og teoretisk tilgang til prissætning af Equity-Linked Notes

Abstract

This thesis investigates how Equity-Linked Notes (ELNs); structured products combining capital protection with equity-linked returns, can be more accurately priced using a regime-switch log-normal model (RSLM). The aim is to assess the model’s effectiveness and robustness compared to existing methods such as Monte Carlo simulation and Lévy approximation, and to evaluate its applicability in a broader financial context. The methodology combines a deductive model development with abductive validation using empirical data. Three asset baskets; equity, commodity, and currency indices, are used for numerical and analytical testing. The broader perspective reveals that ELNs are increasingly used in practice, functioning as flexible investment tools for both private and institutional portfolios. The thesis concludes that regime-based models like the RSLM offer a relevant and forward-looking solution for realistic pricing of ELNs and similar products. Combining theoretical strength with practical flexibility, the model represents a solid foundation for future research and development in the field of structured financial instruments.