title={Heterogeneous Basket Options Pricing Using Analytical Approximations},
author={Georges Dionne and Genevieve Gauthier and Nadia Ouertani and Nabil Tahani},
journal={Multinational Finance Journal},
publisher={Multinational Finance Society; Global Business Publications},
keywords={Basket Options; Options Pricing; Analytical Approximations; Monte Carlo Simulation},
abstract={This paper proposes the use of analytical approximations to price an heterogeneous basket option combining commodity prices, foreign currencies and zero-coupon bonds. The performance of three moment matching approximations is examined: inverse gamma, Edgeworth expansion around the lognormal and Johnson family distributions. Since there is no closed-form formula for basket options, Monte Carlo simulations are carried out to generate the benchmark values. A simulation experiment on a set of options based on a random choice of parameters is performed. The results show that the Edgeworth-lognormal and Johnson distributions give the most accurate results..},