Pricing Multivariate European Equity Option Using Gaussians Mixture Distributions and EVT-Based Copulas
In this article, we present an approach which allows taking into account the effect of extreme values in the modeling of financial asset returns and in the valorisation of associated options. Specifically, the marginal distribution of asset returns is modelled by a mixture of two Gaussian distributi...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Hindawi Limited
2021-01-01
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| Series: | International Journal of Mathematics and Mathematical Sciences |
| Online Access: | http://dx.doi.org/10.1155/2021/7648093 |