= - = +501 282V *20*53021 3. Consider an exchange option V = V(S1, S2,t) which depends on two underlying assets S and S2, and on time t. The option expires at time t = T with payoff V = V(S1, S2,T) = max(q1S1 - 4292,0), where q and q2 are positive constants. The exchange option satisfies av 1 a2y 1 S? at as; + P120102S1S2. asjas2 S3 av V + (r D2 S2 - PV = 0 as where r is the risk-free interest rate, D; is the continuous dividend yield of Si, for i = 1, 2, and P12 is the correlation coefficient between assets S and S2. We seek a similarity solution of the form V(S1, S2, t) = q1S2H(n,t) where n = S1/S2. Determine the partial differential equation satisfied by H and the associated payoff function. +(r D.)Sisi = = =