Yohan,

I have been updating the multiassetoptions for the 2nd edition of Haug.  
Would you review the spreadapproximation in fExoticOptions?  According 
to the formula on page 59 of Haug(1997) there should be a exp(-rt) in 
the formula.

SpreadApproximation = GBSOption(TypeFlag, FF, 1, Time, r,
        0, sigma)@price * (F2 + X)

This should be
SpreadApproximation = GBSOption(TypeFlag, FF, 1, Time, r,
        0, sigma)@price * (F2 + X) * exp(-r *T)

Thank you
Joe


Yohan Chalabi wrote:
>>>>> "JB" == Joe Byers <ecjbosu@aol.com>
>>>>> on Tue, 12 Feb 2008 16:29:55 +0000 (UTC)
>>>>>           
>
>    JB> I am working on adding Haug's Multiasset greeks to the fExotics
>    JB> package.
>    JB> Are you interested in adding these?
>
> New contribution to any Rmetics package is always very welcome!
>
> Do not hesitate to directly contact me or send your
> suggestion/contribution to the Rmetrics core team mailing list. 
> (Rmetrics-core@r-project.org)
>
> Thanks in advance for your contribution,
> Yohan
>   


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