google/tf-quant-finance

Approximate European option price under SABR model

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#8 opened on Sep 11, 2019

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Description

SABR model has accurate density approximations (see, e.g., here). It is of interest to use the approximations to estimate European option prices.

The module implementing this method should live under tf_quant_finance/volatility/sabr_approximation.py. It should support both European puts and calls approximations. Tests should be in sabr_approximation_test.py in the same folder.

Contributor guide

Tech stack
python
Domain
machine learning
Issue type
feature
DifficultyEstimated implementation difficulty for a new contributor, from 1 for very small changes to 5 for expert-level work.
4
Estimated timeA rough time range for an experienced contributor to investigate, implement, test, and prepare a pull request.
3-5 days
Activity statusHow available the issue appears right now: fresh, active, stale, blocked, or waiting on maintainer input.
stale
ClarityHow clearly the issue explains the expected change, acceptance criteria, and next step.
clear
Prerequisites
PythonTensorFlowquantitative financestochastic calculus
Newbie friendlinessA 1-100 score estimating how approachable this issue is for first-time contributors.
30
Research direction
Implement the European option pricing approximation using the SABR model as described in the referenced paper. The code should be placed in tf quant finance/volatility/sabr approximation.py with corresponding tests in sabr approximation test.py. Ensure both put and call options are supported. Review the discussion in the comments for any clarifications on the approximation formula.
Approximate European option price under SABR model · google/tf-quant-finance#8 | Good First Issue