In this paper we discuss the approximate basket options valuation for a jump-diffusion model. The underlying asset prices follow some correlated diffusion processes with idiosyncratic and systematic jumps. We suggest a new approximate pricing formula which is the weighted sum of Roger and Shi's...

In this paper we discuss the basket options valuation for a jump-diffusion model. The underlying asset prices follow some correlated local volatility diffusion processes with systematic jumps. We derive a forward partial integral differential equation (PIDE) for general stochastic processes and...