Dynamic Greeks
Professor Ragnar Norberg, Department of Statistics, London School of Economics

Abstract:
The sensitivity of a derivative price to changes in the parameters is given by its derivatives w.r.t. the parameters - the so-called Greeks. The Greeks are easily obtained when the price is a closed form expression. In any case we may determine the Greeks as solutions to differential equations derived from the differential equation of the price function by simply differentiating it w.r.t. the parameters. Existence of Greeks is the hard part. The idea extends to other dynamical entities. Some examples with numerical illustrations are given.