Equation: Two asset correlation option

Two asset correlation option

created by:

Thijs van den Berg (http://www.sitmo.com)

A two asset correlation option is a vanilla option that is activated if another asset (S2) is above or below a strike (K2) at expiration (T).

	Value of the two asset correlation call option at expiration
	Value of the two asset correlation put option at expiration
	Value of the underlying asset of the vanilla option at expiration
K	Strike (excercise) price of the vanilla option
	Value of the activation asset at expiration
	Activation strike (excercise) price

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