Research Article
Pricing Multivariate European Equity Option Using Gaussians Mixture Distributions and EVT-Based Copulas
Table 1
Estimated parameters of the Gaussian mixture and their proportion.
| | Regime 1 | Regime 2 | Gaussian mixture | Empirical distribution |
| Atos | Moyenne | −0.0072328 | 0.000764489 | 0.00013704 | 0.0001370 | Ecart-type | 0.0603574 | 0.013530408 | 0.02142835 | 0.0214349 | Skewness | 0 | 0 | −0.6131518 | −2.823688 | Kurtosis | 3 | 3 | 15.7 | 42.81632 | Proportion | 0.07845771 | 0.921542310 | – | – |
| Dassault systems | Moyenne | 0.00110506 | −0.00101651 | 0.0007598786 | 0.0007599 | Ecart-type | 0.01014017 | 0.03315738 | 0.01577694 | 0.01630201 | Skewness | 0 | 0 | −0.03745108 | 0.1949504 | Kurtosis | 3 | 3 | 10.00661 | 12.39682 | Proportion | 0.83729906 | 0.16270094 | – | – |
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