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Message-ID: <18D53AB9-07F4-4F8D-8CA1-D2FA16AF5D03@gmail.com>
Date: 2010-06-10T20:03:39Z
From: Benji Famel
Subject: 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...