Korn, R.R.KornZeytun, S.S.Zeytun2022-03-042022-03-042013https://publica.fraunhofer.de/handle/publica/23491510.1016/j.cam.2012.10.035We present a new valuation method for basket options that is based on a limiting approximation of the arithmetic mean by the geometric mean. Using this approximation combined with a new analytical pricing formula for an approximating geometric mean-based option as a control variate, excellent performance for Monte Carlo pricing in a control variate setting is obtained.en003006519journal article