# Tag Info

The solution can be found in, say, Bjork's book. Assume that the two Brownian motions are uncorrelated. I'm also swapping the symbols $S_{1,T}$ and $S_{2,T}$ in the payoff function. We use the stock $S_1$ as numeraire. Note that  \frac{V_t}{S_{1,t}} = \mathbb{E}^{Q^1} \left[ \frac{S_{1,T} \max \left(S_{2,T}/S_{1,T} - 1 \right)}{S_{1,T}} \middle\vert ...