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:
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.