New answers tagged greeks
3
Pathwise finite difference Gamma formula is indeed:
$$\Gamma(S_0,T, dS; Z) = (dS)^{-2} \left[ (S_T^{up} (Z) - K)^+ -2 (S_T (Z) - K)^+ + (S_T^{dn} (Z) - K)^+ \right], $$
where $Z$ is a standard normal rv, and
$$ S_T (Z) = S_0\eta (Z), $$
$$ S_T^{up} (Z) = (S_0+dS)\eta(Z) = (S_0+dS)S_0^{-1} S_T (Z) $$
$$ S_T^{dn} (Z) = (S_0-dS)\eta(Z) = (S_0-dS)S_0^{-1} S_T (...
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