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In this paper, we consider basket warrants with default risk in a stochastic volatility model, where the correlation between the underlying assets is stochastic. In addition, we take into account default risk of warrant issuers, and use a reduced form model to capture default risk. In the proposed framework, a closed-form approximation is provided and the effect of default risk is investigated numerically.

Pricing European basket warrants with default risk under stochastic volatility models