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.
Item Type:  MPRA Paper 

Original Title:  Algorithm for payoff calculation for option trading strategies using vector terminology 
English Title:  Algorithm for payoff calculation for option trading strategies using vector terminology 
Language:  English 
Keywords:  option trading strategies, vector 
Subjects:  C  Mathematical and Quantitative Methods > C6  Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C63  Computational Techniques ; Simulation Modeling C  Mathematical and Quantitative Methods > C8  Data Collection and Data Estimation Methodology ; Computer Programs > C88  Other Computer Software C  Mathematical and Quantitative Methods > C0  General > C02  Mathematical Methods G  Financial Economics > G0  General > G00  General 
Item ID:  15264 
Depositing User:  Pankaj Sinha 
Date Deposited:  17. May 2009 00:29 
Last Modified:  08. Jan 2014 08:34 
References:  [1] Hull, J.C.(2009) Options, Futures, and Other Derivatives ,Prentice Hall. [2] Natenberg,S.(1994) Option Volatility and Pricing Strategies: Advanced Trading Techniques for Professionals McGrawHill Professional Publishing. [3] Chaput, J. S. and Ederington L. H., “Option Spread and Combination Trading”Journal of Derivatives, 10, 4(Summer 2003):7088. [4] http://sourceforge.net/projects/option 
URI:  https://mpra.ub.unimuenchen.de/id/eprint/15264 