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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 (17 comments) (0 reactions) (2 assignees)Python (4,166 stars) (547 forks)batch import
good first issue

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

Tech stack
python
Domain
data
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
Understanding of Heston modelTensorFlowOption pricing theory
Newbie friendlinessA 1-100 score estimating how approachable this issue is for first-time contributors.
25
Research direction
Read the referenced paper (arXiv:1107.1834) for the approximation formulas. Examine existing approximation implementations in the repository, such as those in tf quant finance/volatility/. Implement the Heston approximation in heston approximation.py, following the structure of similar files. Contact the assignees to coordinate if needed.