How do you spell the word "Grey"/ "Gray"?

I've been told that it is spelled both ways, but isn't there a correct and incorrect way to spell just about anything?

I think, but I'm not sure, that I spell it "Grey", but then I have a friend whose last name is spelt "Gray", and I always spell it with an "a" and not an "e"....

It's very confusing. It's just one of those things that you just want to know, but don't have to, because it will never get you anywhere in life.

I went into Word, and I put it in both ways, and the spell check line never came up, so maybe grey/gray can be spelled both ways.