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An Asian basket option (ABS) is a path-dependent multi-asset option whose payoff combines the payoff structure of an Asian option with that of a basket option. In order o obtain approximations of the price of an ABS, in papers by \\textit{M. Currang} [Manage. Sci. 40, No. 12, 1705--1711 (1994; Zbl 0824.90012)], \\textit{L. C. G. Rogers} and \\textit{Z. Shi} [ J. Appl. Probab. 32, No. 4, 1077--1088 (1995; Zbl 0839.90013)], \\textit{J. A. Nielsen} and \\textit{K. Sandmann} [J. Financ. Quant. Anal. 38, 449--473 (2003)], and \\textit{G. Deelstra, J. Liinev} and \\textit{M. Vanmaele} [Insur. Math. Econ. 34, No. 1, 55--77 (2004; Zbl 1068.91030)] , conditioning variables and/or moment matching methods were used. 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