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

Table 6

Prices of the call on minimum with different strikes K.

	Normal	Clayton	Gumbel	Frank	Galambos	Tawn	Husler–Reiss
OTM (K = 130)	0.0386	0.02188	0.05882	0.03639	0.06085	0.05437	0.06224
ATM (K = 120)	1.181	0.995	1.361	1.268	1.356	1.369	1.353
ITM (K = 110)	10.628	10.183	10.559	10.451	10.536	10.523	10.543