A Reduction Algorithm for a Class of Payoff Formulae

6 Pages Posted: 20 Jul 2010

Date Written: December 30, 2009

Abstract

An algorithm is provided to convert the expression tree representation of a class of univariate option payoffs into a piecewise linear function.

Keywords: Payoff Formulae, Expression Tree, Reduction Algorithm, Piecewise Linear Function

JEL Classification: C60,G13

Suggested Citation

Kennedy, Gary J., A Reduction Algorithm for a Class of Payoff Formulae (December 30, 2009). Available at SSRN: https://ssrn.com/abstract=1645275 or http://dx.doi.org/10.2139/ssrn.1645275

Gary J. Kennedy (Contact Author)

Clarus Financial Technology ( email )

8 Monkwell Square
London, EC2Y 5BN
United Kingdom

HOME PAGE: http://www.clarusft.com

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