Gap Put Option
Computes the price of a gap put, where the strike that triggers exercise differs from the strike that sets the payoff. The option pays (K1 − S) when the price falls below K2, creating a jump in the payoff exactly at K2. It's the downside version of the gap option, the theoretical basis of many discontinuous-payoff contracts. Enter the spot price, the payment strike, the trigger strike, the rate, the volatility and the term.
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Gap Put Option
Computes the price of a gap put, where the strike that triggers exercise differs from the strike that sets the payoff. The option pays (K1 − S) when the price falls below K2, creating a jump in the payoff exactly at K2. It's the downside version of the gap option, the theoretical basis of many discontinuous-payoff contracts. Enter the spot price, the payment strike, the trigger strike, the rate, the volatility and the term.
The put with trigger and payment separated
Just as in the gap call, the gap put separates two functions that normally live at the same strike. One strike, the trigger, decides whether the option pays; another, the payment strike, computes the value. The put pays (K1 − S) when the price falls below the trigger K2, and that difference creates a jump in the payoff diagram right at the trigger level.
The effect mirrors the gap call: depending on where the payment strike sits relative to the trigger, the option can start paying with a positive or even negative value the instant it crosses the trigger. The math is almost identical to Black-Scholes, with the trigger K2 entering the d1 and d2 terms and the payment K1 only in the cash term.
Enter the spot price, the payment strike, the trigger strike, the interest rate, the volatility and the term. The tool returns the gap put premium. When the two strikes coincide, it becomes a plain put, a good way to check the calculation.
Related Tools
Gap Option
Computes the price of a gap call, where the strike that triggers exercise differs from the strike that sets the payoff. The option pays (S − K1) when the price exceeds K2, and that separation creates a jump (gap) in the payoff exactly at K2: the option can start paying with a positive or negative value. It's the theoretical basis of many discontinuous-payoff options. Enter the spot price, the payment strike, the trigger strike, the rate, the volatility and the term.
Contingent-Premium Put Option
Computes the fair premium of a contingent-premium (pay-later) put option. As in the call version, the buyer pays only at expiry and only if the put finishes in the money. It's an attractive structure for those wanting protection with no upfront outlay, at the cost of a higher premium if the insurance is actually triggered. The price comes from the Black-Scholes put value divided by the exercise probability. Enter price, strike, rate, dividend, volatility and term.
Cash-or-Nothing Put
Computes the price of a cash-or-nothing put: it pays a fixed amount if the asset finishes below the strike, and nothing otherwise. It's the downside version of the digital option, the complement of the cash-or-nothing call. The price is the payout discounted and multiplied by the risk-neutral probability of the asset finishing below the strike, Q·e^(−rT)·N(−d2). Enter the spot price, the strike, the interest rate, the term, the volatility and the payout.
Black-76 Put Price (Options on Futures)
Works out the premium of a European put option on futures with the Black-76 model, the Black-Scholes version for when the underlying is a future or forward contract. The price is e^(−rT)·[K·N(−d2) − F·N(−d1)], where d1 and d2 come from the futures price, the strike, the volatility and the term. The future already carries the cost of carry, so the discount factor multiplies both terms and interest does not enter d1. It applies to puts on commodities, indices and rates. Enter the futures price, the strike, the risk-free rate, the term in years and the annual volatility.
Garman-Kohlhagen FX Put Price
Prices an FX put option with the Garman-Kohlhagen model, the currency-market version of Black-Scholes. As with the call, the foreign interest rate enters as a continuous dividend on the base currency: the premium is K·e^(−rd·T)·N(−d2) − S·e^(−rf·T)·N(−d1). The strike term is discounted by the domestic rate and the spot term by the foreign one. It's used to hedge against a currency falling or to speculate in that direction. Enter the spot rate, the strike, the domestic and foreign rates, the term in years and the volatility.
Asset-or-Nothing Put
Computes the price of an asset-or-nothing put: it delivers the asset itself if the price finishes below the strike, and nothing otherwise. It's the downside counterpart of the asset-or-nothing call, and together they always sum to the asset's value, because one or the other always pays. The price is simply S·N(−d1). Enter the spot price, the strike, the interest rate, the volatility and the term.
The results provided by this tool are for general informational and educational purposes only and do not constitute professional, financial, medical, legal, tax or accounting advice. Always confirm important decisions with a qualified professional and official sources.