Let I have 2-dimensional diffusions with 2 correlated noises; suppose I am short Call on those 2 underlyings.
I would like to minimize the expected loss from those underlyings going above Calls' strike prices... modifying the number of underlying-1-Calls and the number of underlying-2-Calls I'm going to sell.
In particular, I don not know how to insert weights in Brownian motion expressions in order to obtain a solvable expression.
Thank you
