I'm having a problem to calculate the gap option greeks since there are 2 different exercise prices K1 and K2. Do you know the answer or where can I read about these particular greeks?


Long gap call option position is the same as long an asset-or-nothing digital option and short a cash-or-nothing digital option, both "classical".

$$ (S_T-K_1)\cdot 1_{S_T > K_2} = S_T\cdot 1_{S_T > K_2} -K_1\cdot 1_{S_T > K_2}$$

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  • $\begingroup$ Thank you! I was able to find all the greeks in this way! $\endgroup$ – stoimparando Jun 30 at 14:41
  • $\begingroup$ Why not list them here in an answer so we can "imparare" something also. $\endgroup$ – noob2 Jun 30 at 14:56

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