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Model[MultiAsset_Option]__Pricing_Method__BlenmanClark

Arbitrage-free analytical formula for pricing primarily European options of type Power Exchange Option
The Power Exchange Option price is given by
V(S₁,S₂,t,r,ρ,σ₁,σ₂,δ₁,δ₂;λ₁,λ₂,α₁,α₂) = Y₁*N(d₁) - Y₂*N(d₂)
where
S₁ is the initial price of the first underlying
S₂ is the initial price of the second underlying
t is the time to option expiry in annual units
r is the effective flat continuously compounded interest rate.
ρ is the flat correlation between the two underlying prices.
σ₁ is the flat lognormal volatility of the price of the first underlying.
σ₂ is the flat lognormal volatility of the price of the second underlying.
δ₁ is the flat continuously compounded dividend yield of the first underlying.
δ₂ is the flat continuously compounded dividend yield of the second underlying.
d₁ = {ln[(λ₁*S₁^α₁)/(λ₂*S₂^α₂)] + [α₁(r-δ₁)-α₂(r-δ₂)-α₁(1-α₁)σ₁²/2+α₂(1-α₂)σ₂²/2+υ²/2]t}/(υt^½)
d₂ = d₁ - υt^½
υ² = α₁²σ₁²+α₂²σ₂²-2α₁*α₂*σ₁*σ₂*ρ
Y₁ = λ₁*S₁^α₁*exp{[(α₁-1)r-α₁*δ₁-α₁(1-α₁)σ₁²/2]t}
Y₂ = λ₂*S₂^α₂*exp{[(α₁-1)r-α₂*δ₂-α₂(1-α₂)σ₂²/2]t}
and N(.) denotes the cumulative standard normal distribution function.

The following features are currently not supported:
American exercise, barriers, discrete dividends/storage costs.