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

Table 8

Prices of the bivariate spread option with different strikes K.

	Normal	Clayton	Gumbel	Frank	Galambos	Tawn
OTM (K = 30)	0.04626	0.05037	0.01244	0.02615	0.00898	0.01909
ATM (K = 20)	2.1429	1.379	0.9609	1.0818	1.006	0.8878
ITM (K = 10)	6.5442	7.8945	7.4151	7.8331	7.5363	7.4094