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What kind of formulas does Theta Proxy support?

Theta Proxy can be used for all smooth functions which you would like to evaluate in real-time. That means a function should not have spikes or jumps because Theta Proxy cannot detect them automatically.

For financial mathematics, this condition holds true for

  • option pricing with Monte Carlo, PDE, tree or any other method,
  • Greek computation based on these pricings,
  • VaR and cVaR estimates,
  • option parameter estimation (e.g. implied volatility),
  • and many other …