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google / tf-quant-finance

High-performance TensorFlow library for quantitative finance.
Apache License 2.0
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Analytical approximation for a spread-option price under Black-Scholes #6

Open cyrilchim opened 5 years ago

cyrilchim commented 5 years ago

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.

gmxq commented 5 years ago

@cyrilchim May I work on this issue?

cyrilchim commented 5 years ago

@gmxq: Thank you for reaching out. I'm assigning the issue to you. Please let us know if you have any questions.

saxena-ashish-g commented 4 years ago

@gmxq Are you still working on this issue?

gmxq commented 4 years ago

@saxena-ashish-g Hi yes, I will submit it shortly. Sorry for the delay here.

abhishekmittal15 commented 1 year ago

Hi, is this issue still open?

cyrilchim commented 1 year ago

I don't think this was ever finished. @gmxq, was there any progress?

gmxq commented 1 year ago

Sorry I dont have progress on this. I unassigned myself. Feel free to take it over.

alv128 commented 1 year ago

Hi @cyrilchim, is this issue still open? If yes, I would like to work on it.

cyrilchim commented 1 year ago

Yeap, this is now assigned!

alv128 commented 1 year ago

Hi @cyrilchim I have made a PR with a solution proposal