I have two assets, S1 and S2, which follow geometric Brownian motion processes. This implies that both S1 and S2 have a lognormal distribution.
I'm trying to get the exchange option price formula through the risk neutral valuation, or, in other words C(t,S1,S2)=e−r(T−t)E(max.
How do I calculate the expected value E(\max\{S_1-S_2,0\})??
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