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In the papers Carmona and Durrleman [7] and Bjerksund and Stensland [1],closed form approximations for spread call option prices were studied under thelog normal models. In this paper, we give an alternative closed form formulafor the price of spread call options under the log-normal models also. Ourformula can be seen as a generalization of the closed-form formula presented inBjerksund and Stensland [1] as their formula can be obtained by selectingspecial parameter values to our formula. Numerical tests show that our formulaperforms better for certain range of model parameters than the closed-formformula presented in Bjerksund and Stensland [1].

A note on closed-form spread option valuation under log-normal models