wilmott.com

If anybody has the Haug book handy could they quickly tell me what Kirk's (Black) approximation is for a spread option? I do not have my copy handy and am in urgent need of this model. Any help would be greatly appreciatedCheersPablos

folow this linkhttp://www.global-derivatives.com/options/spread-options.php

I do not have Haug's book but the formulae you are looking for can be found here. edit: quadrature was quicker