According to the documentation center for FinancialDerivative in version 10.4, when there are multi assets, we still may use FinancialDerivative with the corresponding correlation matrix to find the value of a basket option. Here, I try to use it for two assets with the help of Spread as follows:
FinancialDerivative[{"Spread", "American",
"Put"}, {"StrikePrice" -> 50.,
"Expiration" -> 1.}, {"CurrentPrice" -> {50., 50.}, "Dividend" -> 0,
"Volatility" -> {0.3, 0.2}, "CorrelationMatrix" -> {0.6},
"InterestRate" -> 0.05}]
Here comes two problems. First, there is no way according to the documentation center to write the weights on the assets ($w_1=0.7$ and $w_2=0.3$). I think FinancialDerivative automatically considers the weights to be $w_1=0.5$ and $w_2=0.5$ which are not true for my example. Furthermore, the resulting value is incorrect! The true value should be around 3.97, and not the same to the strike price!
I will be grateful if someone give me some tips to handle this issue.
