Asset 1: Put option on Asset 2 in terms of Asset 1 (the exchange rate). Formula: H1 = max (X1 - S12, 0) X1=1

Asset 2: Call option on Asset 1 in terms of Asset 2 (the exchange rate as viewed from the opposite side of the market).

There is a pairing for European Call and Put options on the opposite sides of the market that have financially equivalent payoffs. A call option on the domestic side of the market can always be matched by a put option with a financially equivalent payoff on the opposite side of the market. Since any market with the exchange of assets can be viewed in this way, this relationship exists and PAT can easily identify such financially equivalent payoffs.