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?
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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! $\endgroup$ Jun 30, 2020 at 14:41
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$\begingroup$ Why not list them here in an answer so we can "imparare" something also. $\endgroup$– nbbo2Jun 30, 2020 at 14:56