This paper deals with the task of pricing European basket options in the p-resence of transaction costs. We develop a model that incorporates the illiquidity of the market into the classical two-assets Black-Scholes framework. We perform a nu-merical simulation using finite difference method. We consider a nonlinear multigrid method in order to reduce computational costs. The objective of this paper is to inves-tigate a deterministic extension for the Barles and Soners model and to demonstrate the effectiveness of multigrid approach to solving a fully nonlinear two dimensional Black-Scholes problem.