I would greatly appreciate if some of you could help me with a problem I encountered studying option pricing problems in finance. The problem essentially consists of calculating a payoff depending on two underlying stochastic processes, which in turn is a sum of a mean-reverting process and a standard Brownian motion. My probabilistic background is, unfortunately, too weak to solve problems like this one. I am sure this is easy for many of you. If possible, I would prefer a detailed derivation, so that I might have a chance at understanding what is going on. See enclosed file for problem formulation