Pricing Multivariate European Equity Option Using Gaussians Mixture Distributions and EVT-Based Copulas
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Date
2021-09-02
Journal Title
Journal ISSN
Volume Title
Publisher
Hindawi
Abstract
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 distributions. Moreover, we model the joint dependence structure of the returns using a copula function,
the extremal one, which is suitable for our financial data, particularly the extreme values copulas. Applications are made on the
Atos and Dassault Systems actions of the CAC40 index. Monte Carlo method is used to compute the values of some equity options
such as the call on maximum, the call on minimum, the digital option, and the spreads option with the basket (Atos, Dassault
systems) as underlying
Description
International Journal of Mathematics and Mathematical Sciences
Volume 2021, Article ID 7648093, 9 pages
Keywords
CEFORGRIS, Joseph Ki-Zerbo University and Ouaga II University, Burkina Faso, Saley Bisso, EVT-Based Copulas, Gaussians Mixture Distributions
Citation
Hassane, A. M., Diakarya, B., WendKouni, Y., & Bisso, S. (2021). Pricing Multivariate European Equity Option Using Gaussians Mixture Distributions and EVT-Based Copulas. International Journal of Mathematics and Mathematical Sciences, 2021, 1-9.