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

Table 4

AIC and BIC of the estimated parameters (by the maximum likelihood) for the selected bivariate copulas.

	Normal	Clayton	Gumbel	Frank	Tawn	Galambos	Husler–Reiss
	365.9	325.1	345.4	291.8	320	354.7	358
AIC	−729.8	−648.2	−688.8	−581.6	−638	−707.4	−714
BIC	−724.46	−642.86	−683.46	−576.26	−632.66	−702.06	−708.66