Algorithm for payoff calculation for option trading strategies using vector terminology

Pankaj Sinha and Archit Johar

MPRA Paper from University Library of Munich, Germany

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.

Keywords: option trading strategies; vector (search for similar items in EconPapers)
JEL-codes: C02 C63 C88 G00 (search for similar items in EconPapers)
Date: 2009-05-15
New Economics Papers: this item is included in nep-cmp
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https://mpra.ub.uni-muenchen.de/15264/1/MPRA_paper_15264.pdf original version (application/pdf)

Related works:
Journal Article: ALGORITHM FOR PAYOFF CALCULATION FOR OPTION TRADING STRATEGIES USING VECTOR TERMINOLOGY (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:15264

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