  In this paper we derive tractable formulae for price sensitivities of
two-dimensional spread options using Malliavin calculus. In particular, we
consider spread options with asset dynamics driven by geometric Brownian motion
and stochastic volatility models. Unlike the fast Fourier transform approach,
the Malliavin calculus approach does not require the joint characteristic
function of underlying assets to be known and is applicable to spread options
with discontinuous payoff functions. The results obtained reveal that the
Malliavin calculus approach gives the price sensitivities in terms of the
expectation of spread option payoff functional multiplied with some random
variables (Malliavin weights) which are independent of the payoff functional.
This is consistent with results in Fournie et al. [1]. The results also show
the flexibility of Mallavin calculus approach when applied to spread options.
