Assume the following values when none is specified: So 100 \sigma = 20% T = 1K = 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 = 81. UsingaMonte Carlomethodofyourchoice, whatisthe price,delta,gammaandthetaofthisderivative? 2. Plot how the price changes with different values of the correlation? Any intuitive explanation?

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