google/tf-quant-finance
GitHub で見るApproximate European option price under Heston model
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#9 opened on 2019年9月11日
good first issue
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説明
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.