Approximate European option price under Heston model

[cyrilchim]

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.

[alexandrebrilhante]

I'd like to work on this!

[cyrilchim]

Hi Alexandre!

Thanks for your interest! I've assigned the issue to you. Please follow Google Python and TensorFlow Probability Style Guides. Will update with the internal one once it is published.

In case you are new to TensorFlow, we have create a training you might find useful

As a guidance, please familiarize yourself with option_price and binary_price implementations so that it is easier for you to get started.

Please reach out if you have any issues.

[michaelazer]

@cyrilchim the link to the training you're referring isn't available. Has it been moved?

[saxena-ashish-g]

Hi Michael,

Yes the trainings have now been moved. They are available under examples/jupyter_notebooks.

-Ashish

[michaelazer]

Thanks a lot for your reply :)

On Sat, Apr 18, 2020, 12:09 PM Ashish Saxena notifications@github.com wrote:

Hi Michael,

Yes the trainings have now been moved. They are available under examples/jupyter_notebooks https://github.com/google/tf-quant-finance/blob/master/tf_quant_finance/examples/jupyter_notebooks/Introduction_to_TensorFlow_Part_1_-_Basics.ipynb .

-Ashish

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[saxena-ashish-g]

@brilhana

Hi Alexandre,

Are you still working on this issue? If you are, could you please let us know.

-Ashish

[iamsiddhantsahu]

I am very interested to work on it. If Alexandre is not working it, I would like to take up the work.

[cyrilchim]

Thank you for the interest, Siddhant!

@michaelazer are you still working on this?

[cyrilchim]

Ok, I am reassigning to @iamsiddhantsahu

[iamsiddhantsahu]

@cyrilchim Thanks! Pleasure to work on this. Taking this assignment as part of my university semester project.

As stated in your first comment quoted below,

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.

But, I am afraid I do not see the volatility folder in the path mentioned. Do I need to create it?

[iamsiddhantsahu]

Found it. I guess it has been refactored. I guess it should go inside the models/heston/approximations/european_option.py?

[cyrilchim]

Yes, that is the correct folder

[mudgala3]

Hi, Can I contribute to this issue if not closed?

[cyrilchim]

Hi @mudgala3,

Sorry for late reply. Yes, the issue is still open. Please let me know if you are still interested, I can assign this to you

[mudgala3]

Thanks. I'll start working on it. Any help on supporting reading material would be appreciated, I am new to the project

[cyrilchim]

It is worth going through the training. A good reference point is Attari approximation for European option pricing.