TwoAsset Correlation Options
where 


also where 
c = Price of European call p = Price of European put S_{1} = The spot of the underlying asset one S_{2} = The spot of the underlying asset two X_{1} = Strike on asset one X_{2} = Strike on asset two b_{1} = The cost of carry b_{2} = The cost of carry r = The risk free rate T = Time to expiry of the option = Volatility of underlying asset one's price = Volatility of underlying asset two's price = The correlation coefficient 

See Also 
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