Pricing Default Risky Multi-asset European Options

In this paper, we investigate the price of default risky multi-asset European options.First, We use△-hedge to set up the differential equation for the default risky multi-asset European options.And then we use the theory of differential equation to get the formal solution for default risky multi-asset European options.We also make a concrete analysis of default risky rainbow options and basket options.Because the formal solution for their prices is too complicate. By using particular method, We get the specific prices of default risky rainbow options and basket options.