14'. "Best of" option in a simple case Let a European "Best of" option B be defined as the right to receive, at maturity date I, one unit of asset #1 or one unit of asset #2, whichever has the highest market price: B(T) = Max[S.(D); S=(D)] These two assets are spot assets not paying dividends. The > dynamics of their respective prices are given by: dS1/Si=r dt + 61dWj(t) + GodW2(t) and dS:/Sz = r dt + andW,(t)