I have a question about spread options. I'm pricing a put option on two assets, with a strike value of 0:
I know this kind of options could be priced using Kirk approximation, or better in this case Margrabe formula, so the correct price of this put should be:
since this is a 0 strike option the delta should simply be: $\Delta_1=-N(-d_1)$ and $\Delta_2=N(-d_2)$
What I don't understand is: I know that for a vanilla option the delta value $exp(-rT)*N(d_1)$ is often used as a rough approximation of the exercise probability. What about a spread option like this one? How can I get a "Exercise probability" from the delta values?