摘要： The pricing of basket options is studied in a large credit portfolio. The underlying trading risky assets in the portfolio are subject to default risk and default contagion, where the asset price dynamics and the default intensities are mutually coupled. By solving the associated Riccati's equations, the closed-form price representation of basket options are established by using the weak convergence of some empirical measure valued processes and Vitali's convergence theorem as the number of assets tends to infinity.