Pricing Multivariate European Equity Option Using Gaussians Mixture Distributions and EVT-Based Copulas

Table 3

Parameters of bivariate copulas selected and their Cramer–von Mises test statistics.

	Normal	Clayton	Gumbel	Frank	Tawn	Galambos	Husler–Reiss
Parameter	0.2822	0.1766	1.344	2.3166	0.6868	0.5995	0.9798
Statistic of test	1.469	3.257	0.72485	0.636	0.6136	0.79162	0.84238
value	0.0005	0.0005	0.0005	0.0005	0.0005	0.0005	0.0005