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

Table 7

Prices of the bivariate digital option (paying one unit of the money) with different strikes .

	Normal	Clayton	Gumbel	Frank	Galambos	Tawn	Husler–Reiss
OTM	0.02283713	0.014745475	0.03258418	0.02359763	0.03306132	0.03181797	0.03329281
ATM	0.5208968	0.507406	0.5273577	0.5344094	0.5258449	0.53006026	0.5247992
ITM	0.97519641	0.9751979	0.9751963	0.9751963	0.9751963	0.9751964	0.9751963