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Model[Multi_Asset_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{[(α2-1)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.