The document provides indicative option pricing for Multi-Asset Risk Premia Portfolios TV5 and TV8, comparing costs of 2-year and 3-year puts at different strike levels with backtested returns.
documents/vol00010-efta01364433-pdf.pdf
{"title":"Multi-Asset Risk Premia Portfolio Option Pricing","document_date":"2016-12","document_type":"tabular","document_subtype":"financial data","reference_numbers":["DB-SDNY-0054969","SDNY_GM_00201153","EFTA01364433"]}