Pricing Basket Options by Polynomial Approximations

Table 1

Spread prices for the benchmark parameters and several values of , using Monte Carlo, a Taylor second-order approximation around , and a Chebyshev approximation with 15 terms, and .

Correlation	Monte Carlo	Taylor second approx.	Chebyshev,
	14.2921	13.8709	14.2906
	13.56278	14.78882	13.5649
	14.9734	15.0065	14.9629
	12.8085	12.7901	12.7903
	15.6273	15.9238	15.6316
	11.9525	11.9646	11.9566
	16.2421	17.5217	16.2521
	11.0315	11.1947	11.0529