I have a situation as follows:

  1. One year call option on a Euro stock with a Euro denominated strike.
  2. Knock in feature as follows - The option can only pay out if the growth in the Euro stock over the year exceeds the growth in a USD denominated stock over that period.

How would I go about valuing this option? My instinct is to simulate the Euro and USD stocks using correlated GBM, but I am wondering if there are any intricacies that I am missing in doing this?


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