This thesis proposes a convenient method to evaluate and price Equity Index Linked Notes, combinations of straight bonds and index options and their payoffs are linked to the return of indices such as NASDAQ 100 and KOSPI 200. In order to evaluate the index option parts of Equity Index Linked Notes I use Kim(1992) model which focuses on the excess rate of return, the difference between the rate of return of Equity Index and the rate of return of risk free bond, instead of the rate of return of Equity Index and overcomes the limitation of Black-Scholes(1973) option pricing model under stochastic interest rates. The result of empirical research shows that Kim(1992) model is more useful and effective than Black-Scholes(1973) model to evaluate the value of option which has a long maturity and is under severely volatile interest rates.
