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Mathematical finance question #2
Find the black scholes formula for the option paying D dollars if
min[S1(T),S2(T)] > K, and paying 0 otherwise, in the B-S continuous time model: dSi(t)= Si(t)[Muidt + SigmaidWi(t)] where i=1,2, where W1 and W2 are two independent Brownian motions. Mu is the return and Sigma is the volatility. -Barron |
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