Pricing Multivariate European Equity Option Using Gaussians Mixture Distributions and EVT-Based Copulas.
Abba Mallam HassaneDiakarya BarroWendkouni YaméogoSaley BissoPublished in: Int. J. Math. Math. Sci. (2021)
Keyphrases
- mixture distributions
- gaussian mixture
- option pricing
- dependence structure
- black scholes model
- hidden markov models
- statistical distributions
- gaussian mixture model
- probability density function
- closed form
- linear combination
- stock price
- covariance matrix
- stock market
- marginal distributions
- mixture of gaussians
- em algorithm
- mixture model
- motion patterns
- real option
- expectation maximization
- probability distribution