In this paper we derive an easily computed approximation of Rogers and Shi's lower bound for a local volatility jump-diffusion model and then use it to approximate European basket option values. If the local volatility function is time independent then there is a closed-form expression for the...

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...