Path Integrals and Greeks
10 Pages Posted: 17 Jul 2016 Last revised: 2 Feb 2017
Date Written: July 18, 2016
Abstract
Path integrals are useful and general. Here we show how to calculate Greeks using path integrals. In particular we exhibit the solution to an otherwise troublesome calculation – gamma for a digital option. A subsequent paper will present more detail.
Keywords: Greeks, path integrals, gamma digital option
JEL Classification: C63, F65, G01, G1
Suggested Citation: Suggested Citation
Dash, Jan, Path Integrals and Greeks (July 18, 2016). Available at SSRN: https://ssrn.com/abstract=2808184 or http://dx.doi.org/10.2139/ssrn.2808184
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