Ng, Andrew C.Y.; Li, Johnny Siu-Hang; Chan, Wai-Sum - In: The North American Journal of Economics and Finance 26 (2013) C, pp. 339-354
Basket options have long been an important structured product. One can write a basket option on assets denominated in different currencies, but settle the option in one single currency at some fixed exchange rate. This special type of basket options can be found in many life insurance products...
