Introduction

An equity-linked autocallable note is a legal instrument in which the notional engaged by the customer is automatically reimbursed when the underlying stock reaches a strike at a specified recalling date or at maturity.

In case of autocall, a coupon is also paid to give the client a return higher than the one he would get from a bond.

 

Equity-linked autocallable notes are examples of hybrid products --> equity and IR movements need to be jointly modeled. 

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