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Question 10. Suppose that we own a CALL option of maturity T and strike K on the sum of two underlyings: S1(T)+S2(T). Each underlying follows

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Question 10. Suppose that we own a CALL option of maturity T and strike K on the sum of two underlyings: S1(T)+S2(T). Each underlying follows a normal diffusion (Bachelier model), with respective volatility 1 and 2. Their driving Brownian motions have a correlation . What is the impact of the 1 on the price of our CALL

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