Pricing Vulnerable Basket-Spread Options in Multivariate Variance Gamma Models

In this article, we investigate the pricing of vulnerable basket-spread options under multivariate variance gamma models. We derive a pricing formula in integral form and, by applying Gauss–Hermite and generalized Gauss–Laguerre quadrature rules, reformulate it as a weighted sum, which allows for efficient numerical implementation. Numerical experiments show that the proposed approximate pricing formula achieves high accuracy. In addition, we investigate the effects of default risk and skewness on option prices.