google/tf-quant-finance

Approximate European option price under Heston model

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#9 创建于 2019年9月11日

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 (17 评论) (0 反应) (2 负责人)Python (4,166 star) (547 fork)batch import
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描述

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.

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data
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前置要求
Understanding of Heston modelTensorFlowOption pricing theory
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研究方向
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.
Approximate European option price under Heston model · google/tf-quant-finance#9 | Good First Issue