ALGORITHM FOR PAYOFF CALCULATION FOR OPTION TRADING STRATEGIES USING VECTOR TERMINOLOGY

Pankaj Sinha and Johar Archit

Journal of Applied Economic Sciences, 2009, vol. 4, issue 2(8)_ Summer 2009

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 strategy; payoff; vector; vanilla and exotic option (search for similar items in EconPapers)
Date: 2009
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Related works:
Working Paper: Algorithm for payoff calculation for option trading strategies using vector terminology (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:ush:jaessh:v:4:y:2009:i:2(8)_summer2009:65

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