Efficient Barrier Option Greeks using Automatic Differentation
K¨anslighetsanalys av barri¨aroptioner med algoritmisk derivering F¨or att f˚a ut optionspris och derivator p˚a priset med avseende p˚a tex r¨anta och volatilitet, utf¨ors vanligtvis ett antal simuleringar varp˚a ett medelv¨arde r¨aknas ut. D¨arefter r¨aknas derivatorna ut med en finit differensmetod. F¨or att erh˚alla tillf¨orlitliga resultat med denna metod kr¨avs ett stort antal simuleringar viAutomatic 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. Banks and other financial institutions handle calculations of