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Pricing a Dual Digital OPtion

November 27th, 2022, 6:02 pm

HI All

Struggling to find a formula or an approximation on how to value these 

If I have 2 One Month ATM implied vols, say for EURGBP and GBPUSD and I know the Cross Vol and Implied Correlation too between the majors, can I now deduce a price or an approximation price?

Thanks in Advance