Research Article
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 |
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