I have 2 perspectives as to what model to use for a YCS option:
It is an at the expiry option, so hit the marginals, correlate them with a copula, and be done with it.
To hedge the vega, I will need to have both underlyings. Moreover, I might need to rebalance the hedge in the future (say rates move, I lose/gain vega sensitivity on vanillas so I have to buy less/more of them). This should ideally be priced in the YCS (price should have some component of hedging costs), so I should probably regard this as a path dependent product and use a stock vol model.
Any advice as to which one is correct? Thanks!
Edit: I suppose this concern applies to any multivariate at the expiry payoff.