For valuation of max(S1 - S2 - K, 0) when K is much larger than 0; I came across this paper (page 17-18):
http://www.cs.toronto.edu/pub/reports/na/ccc/ywchen-18-msc.pdf
I tried looking up Matlab or Python codes for this option valuation but I didn't find one. I don't want to recreate the wheel if already done so. Is anyone aware of such code?