Write 2 pages thesis on the topic autocallable structured notes. Autocallable Structured s Autocallable structured s are generally considered as normal term, non-principal protected s issued mostly in the denomination of $1000. These notes are created generally to replicate the performance of any particular index, basket of stocks or any other underlying assets. The main attraction for the investor is that it has the potential to offer high yield over the investments made by the investors. The built in feature of this autocallable note is the fact it can be called with the condition of underlying asset price over and above initial level (ABN AMRO, 2006). With reference to the term sheet, the issued autocallable structured notes however are principal protected which is a significant deviation in the structure of the security since it was originally issued. One issue which is more prominent since the launch of this type of security is its pricing. Pricing models have now proposed a new approach to the pricing of autocallable structured note by incorporating stochastic volatility by taking on the correlation between the interest and equity.