Path Integrals and Greeks
10 Pages Posted: 17 Jul 2016 Last revised: 2 Feb 2017
Date Written: July 18, 2016
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