When pricing options and other complex derivatives dependent on two correlated assets a 3D finite difference grid as illustrated below can be used. One would have the two assets along two dimensions and the time along the last dimension. Here I have used the Mathmatica package: BravaisLattices.m developed by Alastair McLean. The package was original developed for Solid State Physic and Crystallography. However it is also nice for illustrating the very basic idea behind a two factor finite difference model often used for valuation of derivative securities (also originaly developed for solving PDE's in Physic).