This paper transfers pricing equity linked note written on two indices into investigating option pricing problem. A Copula based Monte Carlo pricing method, which uses Copula GARCH model to fit the correlation structure between two groups of log return rates, and applies modified maximization by parts to estimate the parameters of Copula GARCH model, for options is proposed. Further the proposed algorithm is illustrated by an application to price and analyze the profit of one of equity linked notes issued by Hongkong and Shanghai Banking Corporation Limited.
