An analysis of pricing methods for baskets options

The forward-oriented notation has two advantages: Firstly, in opposite to short rates and dividend yields, forward prices and discount factors are market-quotes. Secondly, from a computational point of view, it is less costly to work with single numbers, i.e. the forward prices and the discount factor, instead of several term-structures, namely the short rates and the dividend yields. The problem of pricing the above basket options in the Black-Scholes Model is the following: The stock prices are modelled by geometric