  In this paper we derive an easily computed approximation to European basket
call prices for a local volatility jump-diffusion model. We apply the
asymptotic expansion method to find the approximate value of the lower bound of
European basket call prices. If the local volatility function is time
independent then there is a closed-form expression for the approximation.
Numerical tests show that the suggested approximation is fast and accurate in
comparison with the Monte Carlo and other approximation methods in the
literature.
