Geodesic
Sensitivity of the Black--Scholes Option Price to the Local Path
Trudy Matematicheskogo Instituta imeni V.A. Steklova, Stochastic financial mathematics, Tome 237 (2002), pp. 234-248

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We show that a change in the local path behavior of the stock price process in the Black–Scholes model can have a dramatic effect on option prices and hedging strategies. 
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     author = {P. Cheridito},
     title = {Sensitivity of the {Black--Scholes} {Option} {Price} to the {Local} {Path}},
     journal = {Trudy Matematicheskogo Instituta imeni V.A. Steklova},
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     url = {http://geodesic.mathdoc.fr/item/TM_2002_237_a13/}
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P. Cheridito. Sensitivity of the Black--Scholes Option Price to the Local Path. Trudy Matematicheskogo Instituta imeni V.A. Steklova, Stochastic financial mathematics, Tome 237 (2002), pp. 234-248. http://geodesic.mathdoc.fr/item/TM_2002_237_a13/