Extreme Spread Options
The value of a European extreme spread option can be found with the Bermin(1996) formula : 
where 
, 
If the option is a call then ? = 1 and M0 the observed maximum. If the option is a call then ? = 1 and M0 the observed minimum. 
where 
w = Price of European option F_{1} = Price on futures contract one F_{2} = Price on futures contract two X = Strike price T = Time to maturity r = risk free rate = Volatility of future one = Volatility of future two = Correlation between the two contracts N = The cumulative normal distribution function 

See Also 
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