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

Open cyrilchim opened this issue 6 years ago • 10 comments

Spread-options are particularly popular in commodity markets. A simple Kirk's approximation 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. It should support both puts and calls. Tests should be in spread_option_test.py in the same folder.

cyrilchim avatar Sep 11 '19 09:09 cyrilchim

@cyrilchim May I work on this issue?

gmxq avatar Sep 16 '19 08:09 gmxq

@gmxq: Thank you for reaching out. I'm assigning the issue to you. Please let us know if you have any questions.

cyrilchim avatar Sep 16 '19 09:09 cyrilchim

@gmxq Are you still working on this issue?

saxena-ashish-g avatar Jun 01 '20 17:06 saxena-ashish-g

@saxena-ashish-g Hi yes, I will submit it shortly. Sorry for the delay here.

gmxq avatar Jun 02 '20 20:06 gmxq

Hi, is this issue still open?

abhishekmittal15 avatar Nov 12 '22 23:11 abhishekmittal15

I don't think this was ever finished. @gmxq, was there any progress?

cyrilchim avatar Nov 17 '22 09:11 cyrilchim

Sorry I dont have progress on this. I unassigned myself. Feel free to take it over.

gmxq avatar Nov 17 '22 09:11 gmxq

Hi @cyrilchim, is this issue still open? If yes, I would like to work on it.

alv128 avatar Feb 13 '23 15:02 alv128

Yeap, this is now assigned!

cyrilchim avatar Feb 13 '23 16:02 cyrilchim

Hi @cyrilchim I have made a PR with a solution proposal

alv128 avatar Mar 28 '23 20:03 alv128