Visualize payoffs of an option strategy

(via an interactive GUI)
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Mise à jour 4 avr. 2016

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Function BUTTERFLY (named after the strategy shown on the screenshot) aims to help students and instructors of finance visualize payoffs of simple option strategies. The function allows constructing a portfolio of n < 9 securities, including a (zero-dividend) stock, a (zero-coupon) bond, a forward contract, and a European call or put stock option, and plots portfolio's terminal payoff, as well as time-T value of cash flows at t = 0,T , i.e. terminal payoff adjusted for (accrued) initial cash flow. Discounting and valuation occur as if in a Black-Scholes world.

Citation pour cette source

Dimitri Shvorob (2024). Visualize payoffs of an option strategy (, MATLAB Central File Exchange. Récupéré le .

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Créé avec R14SP1
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