<t>have a feeling you are talking about FX here. I vaguely remember I was curious about this too a long while back ... and what dawned on me is this -> suppsed A = eur/usd, b = gbp/usd, so a/b is eur/gbp, so max(a-b,0) depends on eur/usd vol, gbp/usd vol and their correlations, and max(a/b - k,0) de...