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google / tf-quant-finance

High-performance TensorFlow library for quantitative finance.
Apache License 2.0
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Asian Option #56

Open xiaozhi-alan-zhu opened 3 years ago

xiaozhi-alan-zhu commented 3 years ago

Hi team, Is there any plan for the implementation of asian option computation? I would like to contribute if there is anything related in you plan.

I can also contribute to other issues if you have one.

Xiaozhi

cyrilchim commented 3 years ago

Hi Xiaozhi, I don't think anyone is working on that atm but it would be cool to have a pricing formula for Asian options at least for the Black-Scholes case.

There are more potential projects available :-)

cyrilchim commented 3 years ago

Hi Xiaozhi,

Are you working on this one? If so, could you please clarify what you are implementing.

Thanks, Cyril

jackgillett101 commented 1 year ago

I've added a discretely sampled geometric asian pricer under BS. Once this is done I'll have a look at doing the same for Heston (and also the continuous equivalents in both models, and maybe some average strike options too).