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Quantitative Finance · Glossary

What is Pathwise Greek?

Definition 23.7 Derivatives and Volatility · Chapter 23 — Monte Carlo Pricers in Practice

A pathwise Greek differentiates the discounted payoff along each simulated path with respect to the parameter, holding the random numbers fixed, and averages; it requires the payoff to be continuous in the parameter (almost surely differentiable), and fails for digitals and barriers.

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