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 S 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) S (1) S (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 S 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) S (1) S (1) b) 1000S (1)/S2(1)