Corpus ID: 235166495

Pricing multivariate european equity option using gaussian mixture distributions and evt-based copulas

@inproceedings{Mallam2021PricingME,
  title={Pricing multivariate european equity option using gaussian mixture distributions and evt-based copulas},
  author={Hassane Abba Mallam and D. Barro and Yameogo WendKouni and Bisso Saley},
  year={2021}
}
In this article, we present an approach which allows to take into account the effect of extreme values in the modeling of financial asset returns and in the valorisation of associeted options. Specifically, the marginal distribution of assets returns is modeled by a mixture of two gaussiens distributions. Moreover , we model the joint dependence structure of the returnsusing a copula function, the extremal one, which is suitable for our financial data, particularly the extreme value copula… Expand

Tables from this paper

References

SHOWING 1-10 OF 23 REFERENCES
The valuation of multivariate equity options by means of copulas: Theory and application to the European derivatives market
This article studies the valuation of multivariate equity options by determining the joint risk-neutral distribution of the underlying stock prices by means of copulas. In contrast to previous workExpand
Pricing Vulnerable Options with Copulas
In this paper we apply a copula function pricing technique to the evaluation of vulnerable options, i.e. options with counterpart risk. Using copulas enables to separate the specification of marginalExpand
Pricing Multivariate Currency Options with Copulas
Multivariate options are widely used when there is a need to hedge against a number of risks simultaneously; such as when there is an exposure to several currencies or the need to provide coverExpand
Semiparametric Pricing of Multivariate Contingent Claims
This paper develops and implements a methodology for pricing multivariate contingent claims (MVCC s) based on semiparametric estimation of the multivariate risk-neutral density function.ThisExpand
Nonparametric Pricing of Multivariate Contingent Claims
In this paper, I derive and implement a nonparametric, arbitrage-free technique for multivariate contingent claim (MVCC) pricing. Using results from the method of copulas, I show that theExpand
Modelling the Dependence of Parametric Bivariate Extreme Value Copulas
In this study, we consider the situation where contraints are made on the domains of two random variables whose joint copula is an extreme value model. We introduce a new measure which characterizeExpand
The Pricing of Options and Corporate Liabilities
If options are correctly priced in the market, it should not be possible to make sure profits by creating portfolios of long and short positions in options and their underlying stocks. Using thisExpand
Prices of State-Contingent Claims Implicit in Option Prices
This paper implements the time-state preference model in a multi-period economy, deriving the prices of primitive securities from the prices of call options on aggregate consumption. These pricesExpand
Note on multidimensional Breeden–Litzenberger representation for state price densities
In this note, we consider European options of type $$h(X^1_T, X^2_T,\ldots , X^n_T)$$h(XT1,XT2,…,XTn) depending on several underlying assets. We give a multidimensional version of the result ofExpand
Options on the minimum or the maximum of two risky assets : Analysis and applications
This paper provides analytical formulas for European put and call options on the minimum or the maximum of two risky assets. The properties of these formulas are discussed in detail. Options on theExpand
...
1
2
3
...