There are three assets: a safe asset and two risky assets. The prices B,S1 and S2 of the safe asset, risky asset 1 and risky asset 2 evolve according to the s.d.e.s dBdS1dS2=rBdt,=1S1dt+1S1dZ1,=2S2dt+2S2dZ2 respectively, where Z=(Z1,Z2) is a two-dimensional standard Wiener process. There is also a derivative that pays (S1(T),S2(T)) at maturity T>0. There is no arbitrage. (a) Find the equation satisfied by the price of the derivative. Be careful to explain any assumptions that you make, and to set out the main steps of your derivation carefully. (b) Suppose that (S1(T),S2(T))=K+S1(T)S2(T). What is the price of the derivative at time 0