Path Integrals and Greeks

10 Pages Posted: 17 Jul 2016 Last revised: 2 Feb 2017

See all articles by Jan Dash

Jan Dash

Fordham University; Bloomberg L.P.

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

Dash, Jan, Path Integrals and Greeks (July 18, 2016). Available at SSRN: or

Jan Dash (Contact Author)

Fordham University ( email )

113 West 60th Street
New York, NY 10023
United States

Bloomberg L.P. ( email )

731 Lexington Ave
New York, NY 10022
United States

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