Description

A two asset correlation option is a vanilla option that is activated if another asset is above or below a strike. Let S2,K2 be the price and strike of the second underlying which will be the underlying of the vanilla option. S,K are the price and strike of an activating underlying. The call has a payoff of max(S2-K2,0) is S>K, the put has a payoff of max(X2-S2,0) if S<K