I'm trying to simulate $N$ correlated assets in Excel in order to estimate a basket option price.
For 2 assets, I correlated the two random variables $X_1$ and $X_2$ and then simulate the BlackScholes price increments. At the end, the correlation computed with Excel Function for the two stock prices is completely different.
So how do you correlate two BlackScholes stock prices with a correlation $\rho$ ?
I'd like to complete this step correctly before extending to $N$ assets with Cholesky decomposition..