ALGORITHM FOR PAYOFF CALCULATION FOR OPTION TRADING STRATEGIES USING VECTOR TERMINOLOGY Cover Image

ALGORITHM FOR PAYOFF CALCULATION FOR OPTION TRADING STRATEGIES USING VECTOR TERMINOLOGY
ALGORITHM FOR PAYOFF CALCULATION FOR OPTION TRADING STRATEGIES USING VECTOR TERMINOLOGY

Author(s): Pankaj Sinha, Johar Archit
Subject(s): Economy
Published by: Reprograph
Keywords: option trading strategy; payoff; vector; vanilla and exotic option

Summary/Abstract: 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.

  • Issue Year: IV/2009
  • Issue No: 08
  • Page Range: 273-282
  • Page Count: 9
  • Language: English
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