Assume that X Y (0) = 1, and consider a contract that pays off the more valuable asset at time T ;..

Assume that XY (0) = 1, and consider a
contract that pays off the more valuable asset at time T ; i.e., the payoff is
in the for    

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The price XY (t) follows Geometric Brownian Motion

 

(a) Compute the price of this contract.

(b) Determine the hedge of the contract