Black assumptions for the spread option.
The stochastic processes F1,t and F1,t follow the following stochastic differential equations (SDE)
dF1,t = F1,t s1 dW1,t ,
dF2,t = F2,t ( r s2 dW1,t + (1-r2)1/2 s2 dW2,t ),
where the W1,t and W2,t are independent standard Brownian motions, s1 and s2 are volatilities (positive real parameters) and r is correlation (real number between zero and one).