The document provides indicative option pricing for Multi-Asset Risk Premia Portfolios TV5 and TV8, including costs for 2-year and 3-year puts at 90% and 85% strikes. It compares these costs to backtested returns on the indices.
documents/vol00010-efta01364460-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-0054997","SDNY_GM_00201181","EFTA01364460"]}