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.