Equity-Linked Saving: A New Product Range for Retail Investors

ISMA Centre Finance Discussion Paper No. 2000-11

Cass Business School Research Paper

39 Pages Posted: 23 Jan 2001

Date Written: November 15, 2000

Abstract

In this paper we report on a new class of derivative products which we refer to as 'equity-linked savings products' (ELSPs). ELSPs require investors to pay periodic installments in return for a predefined equity-linked payoff at maturity. We discuss the structuring, hedging, pricing and marketing aspects of a variety of ELSPs. We pay particular attention to the case of The Netherlands where ELSPs are currently very popular with an estimated USD 2 billion issued over the last three years. Reverse engineering of a recent issue shows that the profit margins that product providers may be able to achieve on ELSPs are extremely high.

Keywords: Exotic Options, Investments

JEL Classification: G10, G20

Suggested Citation

Kat, Harry M., Equity-Linked Saving: A New Product Range for Retail Investors (November 15, 2000). ISMA Centre Finance Discussion Paper No. 2000-11; Cass Business School Research Paper. Available at SSRN: https://ssrn.com/abstract=256659 or http://dx.doi.org/10.2139/ssrn.256659

Harry M. Kat (Contact Author)

Independent

No Address Available

Register to save articles to
your library

Register

Paper statistics

Downloads
867
Abstract Views
2,372
rank
26,390
PlumX Metrics