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Algorithm for payoff calculation for option trading strategies using vector terminology

Sinha, Pankaj and Johar, Archit (2009): Algorithm for payoff calculation for option trading strategies using vector terminology.

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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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