Computation of Greeks for Barrier Options Using Chain Rule for Wiener Path Integral

Abstract

This paper presents a new methodology to compute the Greeks of barrier options. In particular, we develop chain rule(CR) for Wiener path integral between two curves that arise while computing the Greeks for barrier options. The boundary terms of CR, concentrated on the set of paths that touch one of the curves once, are specified. We also illustrate the effectiveness of our method through numerical examples.