Under the same assumptions as the previous problem, show that the value of a claim paying S2(T) if S1(T) > KS2(T) is where 2, 1,

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

where σ2, δ1, and δ2 are defined as in the previous problem.
In the next set of problems you will use Monte Carlo valuation. Assume that S0 = $41, K = $40, P0 = 0.9802, σ = 0.30, T = 0.25, and δ = 0.

S2()e