Let Si(t) and S2(t) denote the prices of two dependent stocks. Assume that the stock prices follow a log- normal distribution. Further assume that the correlation between In Sy and In S2 is p= -0.3 and that Si(0) = 100, S2(0) = 100,r=0.06, 01 = 0.4 and 02 = 0.2. Neither stock pays dividends. Use risk- neutral valuation to determine the price at time 0 of a derivative which pays the following at time 1: = = = a) Si(1)S2(1) b) 1000S (1)/S2(1) Let Si(t) and S2(t) denote the prices of two dependent stocks. Assume that the stock prices follow a log- normal distribution. Further assume that the correlation between In Sy and In S2 is p= -0.3 and that Si(0) = 100, S2(0) = 100,r=0.06, 01 = 0.4 and 02 = 0.2. Neither stock pays dividends. Use risk- neutral valuation to determine the price at time 0 of a derivative which pays the following at time 1: = = = a) Si(1)S2(1) b) 1000S (1)/S2(1)