Assume X ~ N(µx,σx), Y ~ N(µy,σy), corre(X,Y) = ρ
then
1) E(eXeY) = exp{µx +1/2σ2x +µY +1/2σY2+ρσxσy}
2) cov(eX, eY) = exp{µx +1/2σ2x +µY +1/2σY2}(exp{ρσxσy}-1)