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Baron-Adesi Whaley analytic approximation for American options #3

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saxena-ashish-g opened this issue Sep 10, 2019 · 4 comments
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Baron-Adesi Whaley analytic approximation for American options #3

saxena-ashish-g opened this issue Sep 10, 2019 · 4 comments
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@esztermarton
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good first issue Good for newcomers

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@saxena-ashish-g
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American options have a number of approximate pricing formula under Black-Scholes.
In particular, the Baron-Adesi Whaley approximation is of interest.

The module implementing this method should live under tf_quant_finance/volatility/american_option.py. It should support both puts and calls. Tests should be in american_option_test.py in the same folder.
@saxena-ashish-g saxena-ashish-g added the good first issue Good for newcomers label Sep 10, 2019
@kwonhur
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kwonhur commented Sep 21, 2019

Hi,
Can I work on this issue? Thanks

@cyrilchim
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Hi Kwon! Sure, I've assigned the issue to you. Please reach out if you have any questions. In case you need help getting started with TensorFlow, please refer to the trainings

@kwonhur kwonhur removed their assignment Dec 17, 2019
@cyrilchim cyrilchim assigned cyrilchim and unassigned cyrilchim Jan 2, 2020
@esztermarton
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Hey @cyrilchim - this looks cool, could I please give it a go? Thanks!

@cyrilchim
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This is now resolved! Thank you, Rebeka!

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@cyrilchim @saxena-ashish-g @esztermarton @kwonhur