Pricing Spread Options with Stochastic Interest Rates

Table 3

Spread option price.

0	0.04	0.08	0.12	0.16	0.2
−0.8	6.0963	6.4456	6.7721	7.0777	7.3642	7.6332
−0.6	6.0512	6.3431	6.6131	6.8632	7.0952	7.3110
−0.4	6.0086	6.3172	6.5990	6.8566	7.0924	7.3086
−0.2	5.9608	6.2466	6.5026	6.7319	6.9372	7.1210
0	5.9153	6.2018	6.4529	6.6722	6.8632	7.0287
0.2	5.8629	6.1612	6.4163	6.6325	6.8140	6.9644
0.4	5.8057	6.0576	6.2611	6.4216	6.5440	6.6328
0.6	5.7472	6.0189	6.2281	6.3818	6.4862	6.5469
0.8	5.6825	5.9355	6.1092	6.2126	6.2539	6.3406