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	–	–