An Analytically Tractable Model for Pricing Multiasset Options with Correlated Jump-Diffusion Equity Processes and a Two-Factor Stochastic Yield Curve

Table 2

Value of a spread option.

	3-month expiry spread option	6-month expiry spread option
Model 1: Black-Scholes	20.6206953	28.9473327
Model 2: low intensity jumps	21.7144031	30.6466976
Model 3: high intensity jumps	22.7485628	32.2521365

All values other than Black-Scholes were computed by means of Formula 2 with the following inputs:   , , , , , , , , , , , , and .
The “low intensity jumps” setting is defined by taking , , and .
The “high intensity jumps” setting is defined by taking , , and .