Hassane, Abba MallamDiakarya, BarroWendKouni, Yaméogo2023-05-222023-05-222021-09-02Hassane, 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.https://doi.org/10.1155/2021/7648093http://hdl.handle.net/123456789/1891International Journal of Mathematics and Mathematical Sciences Volume 2021, Article ID 7648093, 9 pagesIn 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 underlyingenCEFORGRISJoseph Ki-Zerbo University and Ouaga II UniversityBurkina FasoSaley BissoEVT-Based CopulasGaussians Mixture DistributionsArticle