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Algorithm for payoff calculation for option trading strategies using vector terminology

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Author Info
Sinha , Pankaj
Johar, Archit

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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.

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File URL: http://mpra.ub.uni-muenchen.de/15264/
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Publisher Info
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 15264.

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Date of creation: 15 May 2009
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Handle: RePEc:pra:mprapa:15264

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Related research
Keywords: option trading strategies; vector;

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Find related papers by JEL classification:
C63 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Computational Techniques
C88 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Other Computer Software
C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
G00 - Financial Economics - - General - - - General

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This page was last updated on 2009-11-30.


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