google/tf-quant-finance

Approximate European option price under Heston model

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#9 opened on Sep 11, 2019

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good first issue

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Description

Heston model has accurate density approximations for European option prices, 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 and calls approximations. Tests should be in heston_approximation_test.py in the same folder.

Contributor guide

Research direction
Implement the approximate European option pricing method under the Heston model as described in the referenced paper. Focus on the module structure and test cases.
Tech stack
pythontensorflow
Domain
backend
Issue type
Feature
DifficultyEstimated implementation difficulty for a new contributor, from 1 for very small changes to 5 for expert-level work.
3
Estimated timeA rough time range for an experienced contributor to investigate, implement, test, and prepare a pull request.
1-2 days
Activity statusHow available the issue appears right now: fresh, active, stale, blocked, or waiting on maintainer input.
Active
ClarityHow clearly the issue explains the expected change, acceptance criteria, and next step.
Clear
Prerequisites
PythonTensorFlowGit
Newbie friendlinessA 1-100 score estimating how approachable this issue is for first-time contributors.
40