# Tag Info

$u$ is the value of the option, and is in fact a scalar (which, of course, is a function its several underlyings). You're studying a single option on a basket, not a basket of options. As for the two different formulas: you can pick the correct one just by looking at the units of its terms. The rate $r$ is the inverse of a time; each volatility $\sigma_j$ ...
The word cubature is just a replacement for quadrature in the infinite dimensional setting, such as the Wiener space as in the answer from @TheBridge. The term is used in the context of integrating functionals of stochastic processes $$E[F(X)]$$ where X is random variable valued in a functional space such as a the solution of a SDE or simply the Brownian ...