# 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

## Digital Options

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.