In this paper, we derive an easily computed approximation to European basket call prices for a local volatility jump-diffusion model. We apply the asymptotic expansion method to find the approximate value of the lower bound of European basket call prices. If the local volatility function is time...

In this paper we present a new approximation for computing lower bound for the fixed charge transportation problem (FCTP). The lower bounds thus generated delivered 87% optimal solutions for 56 randomly generated small, up to 6×10 in size, problems in an experimental design. For somewhat...