The document provides an analysis of option pricing for equity portfolios, specifically focusing on the Cash Equity Risk Premia Portfolio TV5. It compares the cost of protection on equity portfolios with expected returns and highlights the cost-efficiency of purchasing protection on the TV5 portfolio. The document includes tables summarizing the pricing of out-of-the-money put options for different maturities and strike prices.
documents/vol00010-efta01364428-pdf.pdf
{"title":"Cash Equity Risk Premia Portfolio TV5 Option Pricing","document_date":"2016-12","document_type":"tabular","document_subtype":"financial analysis","reference_numbers":["DB-SDNY-0054964","SDNY_GM_00201148","EFTA01364428"]}