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 ArchitSubject(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.
Journal: Journal of Applied Economic Sciences (JAES)
- Issue Year: IV/2009
- Issue No: 08
- Page Range: 273-282
- Page Count: 9
- Language: English