A Question on option pricing - Quant版

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Quant版 - A Question on option pricing

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(共1页)

d******e
发帖数: 8

Suppose we have a contract with maturity T. It pays the maximum of two Europ
ean call options (C1 & C2) expiring at T, with the underlying stocks S1 & S2
, ( dS/S=rdt + sigma dW) S1 and S2 are correlated. How to get the analytical
form of the price of this contract?
Thanks!

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