Question: Assume the following values when none is specified: So = 1 0 0 sigma = 2 0 % T = 1 K = 1

Assume the following values when none is specified:
So =100
\sigma =20% T=1 K =100 r =5%
We will add another stock to the mix with the following characteristics:
Xo =90\sigma =30%
Assume the correlation
\rho =50%
We want to value a spread option whose payoff is max(ST XT Kspread, 0) with Kspread =8
1. UsingaMonteCarlomethodofyourchoice,whatistheprice,delta,gammaandthetaofthisderivative? 2. Plot how the price changes with different values of the correlation? Any intuitive explanation?

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