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
Authors:	PANKAJ, Sinha ; ARCHIT, Johar
Published in:	Journal of Applied Economic Sciences. - Facultatea de Management Financiar Contabil. - Vol. 4.2009, 2(8)_ Summer 2009
Publisher:	Facultatea de Management Financiar Contabil
Subject:	option trading strategy \| payoff \| vector \| vanilla and exotic option

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Source:	RePEc - Research Papers in Economics

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