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

Table 5

Prices of the call on maximum with different strikes.

	Normal	Clayton	Gumbel	Frank	Galambos	Tawn	Husler–Reiss
OTM (K = 130)	2.7126	2.6947	2.6642	2.6888	2.6593	2.6664	2.6617
ATM (K = 120)	7.328	7.417	7.0226	7.101	7.0216	7.0264	7.0245
ITM (K = 110)	17.211	17.057	16.743	16.794	16.674	16.660	16.673