Pricing Spread Options with Stochastic Interest Rates

Table 1

Spread option price.

0	0.04	0.08	0.12	0.16	0.2
2	9.0963	9.3481	9.5591	9.7337	9.8761	9.9900
4	8.1906	8.5078	8.7794	9.0103	9.2046	9.3664
6	7.3595	7.6421	7.8821	8.0840	8.2522	8.3903
8	6.5753	6.8796	7.1398	7.3606	7.5464	7.7009
10	5.8556	6.1613	6.4232	6.6459	6.8336	6.9901