  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 returns using an
extremal copula which is suitable for our financial data. 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: the call on maximum, the
call on minimum, the digital option and the spreads option with the basket
(Atos, Dassault systems).
