A Reduction Algorithm for a Class of Payoff Formulae
6 Pages Posted: 20 Jul 2010
Date Written: December 30, 2009
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: Suggested Citation