  Pricing of European basket call option with n-assets and a bond is discussed
in this paper, where all prices of n-assets and the bond are driven by
Exponential Ornstein-Uhlenbeck processes. The close-form of European basket
option pricing formula is derived. Utilizing with 1-order differential
approximate numerical solution of stochastic differential equation (Milstein
method), a simulation example of European basket option pricing with 3 assets
is also given.
