Vibrato and AD for Option Greeks

Vibrato method and the Vibrato + Automatic Differentiation from the paper ‘Vibrato and automatic differentiation for high order derivatives and sensitivities’ https://arxiv.org/abs/1606.06143 are implemented

The following results are obtained from the algorithm:

European Options

Gamma European Option

Convergence

Digital Options

Vega Digital Option

As shown in the paper, the algorithm can be applied to different types of options.
Futher development will include the implementation of Basket option greeks and Heston greeks.

GitHub

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