google/tf-quant-finance

Approximate European option price under SABR model

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#8 创建于 2019年9月11日

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

描述

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.

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python
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machine learning
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feature
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前置要求
PythonTensorFlowquantitative financestochastic calculus
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研究方向
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.