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What is my mistake with FinancialDerivative["Himalaya"]?

FinancialDerivative[{"Himalaya"}, {"Expiration" -> 1, 
  "NominalAmount" -> 100}, {"CurrentPrice" -> {100, 100, 100}, 
  "Dividend" -> {0, 0, 0}, "Volatility" -> {0.3, 0.2, 0.4}, 
  "CorrelationMatrix" {{1, 0.1`, 0.6`}, {0.6`, 
     1, -0.2`}, {0.6`, -0.2`, 1}}, "InterestRate" -> {0.1, 0.1, 0.1}}]
In[102]:= FinancialDerivative["Himalaya", {"Expiration" -> 1, "NominalAmount" -> 100}, {"CurrentPrice" -> {100, 100, 100, 100}, 
  "Dividend" -> {0, 0, 0}, "Volatility" -> {0.3},  "CorrelationMatrix" -> {1, 0.1, 0.6, 0.6, 1, -0.2},  "InterestRate" -> {0.1, 0.1, 0.1}}]

Out[102]= 13.862012759
POSTED BY: Simon Cadrin
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