  In this study, we propose a new formula for spread option pricing with the
dependence of two assets described by a copula function. The advantage of the
proposed method is that it requires only the numerical evaluation of a
one-dimensional integral. Any univariate stock price process, admitting an
affine characteristic function, can be used in our formula to get an efficient
numerical procedure for computing spread option prices. In the numerical
analysis we present a comparison with Monte Carlo simulation methods to assess
the performance of our approach, assuming that the univariate stock price
follows three widely applied models: Variance Gamma, Heston's Stochastic
Volatility and Affine Heston Nandi GARCH(1,1) model.
