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

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

Jan Dash (Contact Author)

Bloomberg LP ( email )

731 Lexington Ave
New York, NY 10022
United States

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