SpreadapproxOption
Hello, Am I being dense? Why does the call: SpreadApproxOption (TypeFlag="c", S1=28, S2=20, X=7, Time=1, r=.10, sigma1=0, sigma2=0, rho=1) Give me an option price of 0.81 instead of 0.90? Thanks for any help...
Hello, Am I being dense? Why does the call: SpreadApproxOption (TypeFlag="c", S1=28, S2=20, X=7, Time=1, r=.10, sigma1=0, sigma2=0, rho=1) Give me an option price of 0.81 instead of 0.90? Thanks for any help...