Question: 5. Under the same assumptions as the previous problem, show that the value of a claim paying S2(T ) if S1(T) > KS2(T ) is

5. Under the same assumptions as the previous problem, show that the value of a claim paying S2(T ) if S1(T) > KS2(T ) is S2(t)e

−δ2(T−t)N ln(S1(t)/KS2(t)) + (δ2 − δ1− 0.5σ2)(T − t)

σ

√

T − t



where σ2, δ1, and δ2 are defined as in the previous problem.

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