At that time, the main currency for arbitrage transaction was yen, because the interest rate was low for yen then, and many objects of arbitrage transaction were AUD and NZD.

Despite that modern option pricing theory can give an accurate describe of the interest rate movement, no arbitrage model, the equilibrium model, the martingale model all have deficit.

This paper presents a no-arbitrage model of closed-form approximation for valuing basket options under a stochastic interest rate economy.