The Pricing of Participation Structured Products in the Russian Market

Student: Achikyan Eduard

Educational Programme: Economics (Bachelor)

Final Grade: 8

Year of Graduation: 2022

The study analyzes the pricing of structured products by constructing an investment portfolio that replicates the payoff profile of a note. The research methodology is based on the Black-Scholes option pricing model. Results showed that participation structured products in the Russian market are overpriced, on average, by 13.78%. Moreover, there are factors that increase or decrease the note’s price deviation from its fair value. Results of theoretical modeling suggest that structured products are unprofitable for investors, however, this approach contains several shortcomings which indicate that based on the construction of an investment portfolio it is difficult to say whether notes are overpriced.

Full text (added April 30, 2022)

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