google/tf-quant-finance

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

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#6 创建于 2019年9月11日

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 (10 评论) (0 反应) (1 负责人)Python (4,166 star) (547 fork)batch import
good first issue

描述

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.

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技术栈
pythontensorflow
领域
backend
议题类型
feature
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前置要求
PythonTensorFlowOptions pricing basics
新手友好度1-100 的估计分数，表示该议题对首次贡献者的友好程度。
40
研究方向
Implement Kirk's approximation for spread options in tf quant finance/volatility/spread option.py. Support both puts and calls. Write corresponding tests in spread option test.py. Follow existing code patterns in the repository.