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- 8/5/14
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What I'm investigating:
I wrote a C++ application that generates a payoff diagrams at maturity with any combination of financial derivatives. I have been researching various well known option strategies (such as straddle, bear-spread, strangle etc.)
The problem:
All of these strategies only work under certain predictions about the market. None of them work for all market movement.
Question:
Under suitable assumptions, is it possible to design a portfolio that theoretically makes money under any market movement?
I wrote a C++ application that generates a payoff diagrams at maturity with any combination of financial derivatives. I have been researching various well known option strategies (such as straddle, bear-spread, strangle etc.)
The problem:
All of these strategies only work under certain predictions about the market. None of them work for all market movement.
Question:
Under suitable assumptions, is it possible to design a portfolio that theoretically makes money under any market movement?