Pricing Spread Options with Stochastic Interest Rates

Table 2

Spread option price.

0	0.04	0.08	0.12	0.16	0.2
−0.8	10.5947	10.8515	11.0598	11.2249	11.3516	11.4443
−0.6	9.7783	10.0964	10.3634	10.5845	10.7648	10.9087
−0.4	8.9031	9.1473	9.3474	9.5083	9.6344	9.7297
−0.2	7.9746	8.2249	8.4324	8.6018	8.7374	8.8429
0	6.9684	7.2559	7.4994	7.7034	7.8722	8.0098
0.2	5.8622	6.1258	6.3488	6.5356	6.6902	6.8161
0.4	4.6314	4.9373	5.2013	5.4276	5.6203	5.7830
0.6	3.2155	3.5425	3.8272	4.0741	4.2872	4.4702
0.8	1.5161	1.8841	2.2092	2.4958	2.7479	2.9691