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google / tf-quant-finance

High-performance TensorFlow library for quantitative finance.
Apache License 2.0
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First cut of geometric asian pricer #82

Closed jackgillett101 closed 1 year ago

jackgillett101 commented 1 year ago

Geometric asian option pricer under black scholes, this pricer transforms the asian problem into an equivalent vanilla problem and uses the vanilla pricer to price.

Affects this issue: https://github.com/google/tf-quant-finance/issues/56

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cyrilchim commented 1 year ago

Thanks @jackgillett101 This is now submitted!