<t>QuoteOriginally posted by: bearishLet W and Z be two standard independent normals and write X=aW, Y=b(cW+sqrt(1-c^2)Z); where a and b are the standard deviations of X and Y, and c is the correlation between X and Y. Direct computation then gives E(X^2Y^2)=a^2b^2*(1+2c^2).Thank you for your reply....