cyrilchim

Approximate European option price under Heston model

17

Heston model has accurate density [approximations for European option prices](https://arxiv.org/pdf/1107.1834.pdf), which are of interest. The module implementing this method should live under tf_quant_finance/volatility/heston_approximation.py. It should support both European option puts...

Approximate European option price under SABR model

21

[SABR model](https://en.wikipedia.org/wiki/SABR_volatility_model) has accurate density approximations (see, e.g., [here](https://arxiv.org/pdf/1107.1834.pdf)). It is of interest to use the approximations to estimate European option prices. The module implementing this method should live under...

Analytical approximation for a spread-option price under Black-Scholes

10

Spread-options are particularly popular in commodity markets. A simple [Kirk's approximation](https://www.sciencedirect.com/science/article/pii/S0893965913001171) for European spread-option price under Black-Scholes model is of interest. The module implementing this method should live under tf_quant_finance/volatility/spread_option.py....