I would like to learn how to price options written on basket of several underlyings.
I've never tried to do it and I would appreciate if you can provide some documents, papers, web sites and so on in order I can collect materials to build my own step by step guide.
I know the first step should be Black & Scholes formula, then I found out other methods exist like Beisser, Gentle, Ju, Milevsky etc.
At the end of my studies, I would like to price basket options in
R building my own index by weighted sum of several assets' prices.