# Questions tagged [payoff]

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The "desired position" in the image is a set of slopes $(0,1,-1,0)$, and a set of strike prices between these slopes $\mathbf{K}=(98,100,102)$. The payoff is then designed by finding the positions $... 1answer 84 views ### Discontinuous derivative payoff approximation Consider a derivative of digital type which pays this kind of payoff at time$T: \begin{align*} g(S_T,k) &= \begin{cases} P_0,~S_T>k \\ S_T, ~S_T\leq k \end{cases} \end{... 2answers 52 views ### Construct a portfolio of European call options with a certain payoff function My question is similar to Replicate a Portfolio with Given Payoff but I am not quite sure how to apply this to my problem. A portfolio of European call options on an assetS_T$has a payoff ... 0answers 81 views ### Architecture of a global pricing library with immutable payoffs By global pricing library I mean a library handling equity, rate etc, hybrid products having several models (BS, LV, SV, LSV) having several numerical methods (analytic formula, MC, PDE FD/FE) I ... 1answer 74 views ### Transform of payoff function$w_c=(\sqrt{y}-K)^+$[closed] I am working on a project where I price EU call options written on the VIX index. The payoff function of interest looks like$w_c=(\sqrt{y}-K)^+$where K is the strike price and y is the value of$...
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I'm looking at different option strategies and the ways that their payoffs differ (and therefore how they can differently be used). I'm looking at the long seagull (buy a call spread and sell a put), ...
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### Explaining an Option product: SIX Discount Certificates

So I have the option with the important info above. I am trying to generate a portfolio that represents the option. However I am stuck on the first hurdle as I believe it is a call option as the ...
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### Transform the payoff to be non-zero

Is there any way to transform the basic call option payoff $V(s,0) = \max(s-K,0)$ such that $g(V(s,0))\neq 0$ $\forall s$, where $g()$ is the transform function of the payoff. This is to use in a ...