Thats a unique idea.You should consider the following idea to enhance your idea so that it would impact uniquely:  consider a limit price of basket options in a large portfolio where the dynamics of basket assets is described as a CEV jump diffusion system. The explicit representation of the limiting price is established using ak convergence of empirical measure valued processes generated by the system. As an application, the closed-form formula of the limit price is derived when the price dynamics of basket assets follows a mixed-double exponential jump-diffusion system.
['Lijun Bo', 'Yongjin Wang']
I am writing a research paper on a idea The pricing of basket options: A weak convergence approach
[{"from": "human", "value": "I am writing a research paper on a idea The pricing of basket options: A weak convergence approach"}, {"from": "gpt", "value": "Thats a unique idea.You should consider the following idea to enhance your idea so that it would impact uniquely:  consider a limit price of basket options in a large portfolio where the dynamics of basket assets is described as a CEV jump diffusion system. The explicit representation of the limiting price is established using ak convergence of empirical measure valued processes generated by the system. As an application, the closed-form formula of the limit price is derived when the price dynamics of basket assets follows a mixed-double exponential jump-diffusion system."}]