The governor of Otrar arrests all of the merchants and makes it known that they were spies. Genghis Khan does not take kindly to this, but on the chance that one of your subordiantes went rogue, he sends his own delegation of three ambassadors directly to meet with you. They request that you hand over the governor of Otrar to the Mongols for punishment. What do you do?

Hand over the governor and deny and knowledge of the plot.

Execute one ambassador and shave the heads of the other two, sending them back to Genghis Khan as a warning. Then, just for good measure, have the entire merchant party executed too.