Algorithm for payoff calculation for option trading strategies using vector terminology

The aim of this paper is to develop an algorithm for calculating and plotting payoff of option strategies for a portfolio of path independent vanilla and exotic options. A general algorithm for calculating the vector matrix for any arbitrary combination strategy is also developed for some of the commonly option trading strategies.

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Year of publication:	2009-05-15
Authors:	Sinha, Pankaj ; Johar, Archit

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Sinha, Pankaj and Johar, Archit (2009): Algorithm for payoff calculation for option trading strategies using vector terminology.
Classification:	C63 - Computational Techniques ; C88 - Other Computer Software ; C02 - Mathematical Methods ; G00 - Financial Economics. General
Source:	BASE

Persistent link: https://www.econbiz.de/10015216893