if I have two asset prices modeled separately as geometric brownian motions. How do i go about calculating the expected statistics of their difference? Like given the sigmas and mus of both processes, and their correlations, what would the standard deviation of that difference/sum be?
Is there an analytic solution for the case of two GBMs? Or are there even solutions for n>2?
I've done simulations with a large number of assets. But could intermarket spreads or similar be done without simulating?
I really thought this would be easy to find with google, but I was unable to.