Unformatted text preview: ) S 1 S 2 If we let S 3 = S 1 S 2 , you may think that S 3 is a geometric brownian motion and we want to get the call price with ( S 3-K ) + , we may just use the standard Black scholes formula to get the price. In fact, I think this is wrong! Let try to make our problem much easier, assume that S 1 = S 2 = S . Then we get that dS 2 = (2 u + σ 2 ) S 2 dt + 2 σS 2 dW t [email protected]..
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