Currency 1: Call options on Currency 2 and Currency 3. Formula: H1 = max(S12 - X1, 0) + max(S13 - X2, 0)

Currency 2: Unidentified.

Asset 3: Unidentified.

Here we have a case where our original Currency 1 payoff is dependent on both Currency 2 and Currency 3. Clearly the level of complexity has increased. Nevertheless, we can notice clear signs of symmetry between all of the payoffs, which helps us to understand how all of them can be financially equivalent and hence interchangeable.

When analyzing the Currency 2 and Currency 3 payoffs, we notice elements known to us already from our earlier analyses. We will see that this case of two options on different currencies is just an extension of the case of one option on a currency, viewed from a three-currency perspective.