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Analytical approximation for a spread-option price under Black-Scholes #6

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cyrilchim opened this issue Sep 11, 2019 · 4 comments
Open

Analytical approximation for a spread-option price under Black-Scholes #6

cyrilchim opened this issue Sep 11, 2019 · 4 comments
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@cyrilchim
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@cyrilchim cyrilchim commented Sep 11, 2019

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.
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@gmxq gmxq commented Sep 16, 2019

@cyrilchim May I work on this issue?
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@cyrilchim cyrilchim commented Sep 16, 2019

@gmxq: Thank you for reaching out. I'm assigning the issue to you. Please let us know if you have any questions.
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@saxena-ashish-g saxena-ashish-g commented Jun 1, 2020

@gmxq Are you still working on this issue?
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@gmxq gmxq commented Jun 2, 2020 •
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@saxena-ashish-g Hi yes, I will submit it shortly. Sorry for the delay here.
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