It becomes messy with two times already, and perhaps not really what you are after in hindsight... briefly: Writing [$]H[$] as the bivariate copula function for the joint distribution of the asset at [$]T_1[$] and [$] T_2[$], the value of an option with payoff [$] g(S(T_1),S(T_2)) [$] is ([$] f_1(S)...