n this section we compute the
quantity  
where the
are volatilities of the assets (positive real numbers),
is the correlation (real number,
 ),
is an integrable function and
 ,
are independent standard Brownian motions.
According to the multi dimensional version of the backward Kolmogorov's
equation ( Backward equation section)
the function
is a solution of the
problem 
Similarly to the previous section
( one-dim case) we introduce
the
process
and
observe
Also, 
Hence,
Therefore, we define the
process  
Conversely, 
Hence, for the function
may be represented as
with
being the solution of
 
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