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  1. 1. Efficient Barrier Option Greeks using Automatic Differentation

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Gustav Hedin; [2019]
    Nyckelord :Automatic Differentiation; Greeks; Barrier Option; Vibrato Monte Carlo; Mathematics and Statistics;

    Sammanfattning : Automatic Differentiation (AD) is an effective method for calculation of derivatives. It can evaluate an unlimited number of derivatives to a fixed cost relative to the computing time of the original function. The AD technique is used in many fields for large and complex calculations in order to get accurate values of derivatives fast. LÄS MER