(b) There are two stocks, A and B. dF_0,2^P A / F_0,2^P A = 0.13dt + 0.36dZ_1(t), t <= 2
dF_0,2^P B / F_0,2^P B = 0.11dt + 0.21dZ_2(t), t <= 2
dZ_1(t)dZ_2(t) = 0.78dt F_0,2^P A = 58 F_0,2^P B - 61
A two-year option pays: Max[0, 4(2)-B(2)]. What is the premium for this option?