Algorithm For Payoff Calculation For Option Trading Strategies Using Vector Terminology
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.
Volume (Year): 4 (2009)
Issue (Month): 2(8)_ Summer 2009 ()
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