Corpus ID: 235166495

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

  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},
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

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