Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Baron-Adesi Whaley analytic approximation for American options #3

saxena-ashish-g opened this issue Sep 10, 2019 · 2 comments


Copy link

commented Sep 10, 2019

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/ It should support both puts and calls. Tests should be in in the same folder.


This comment has been minimized.

Copy link

commented Sep 21, 2019

Can I work on this issue? Thanks


This comment has been minimized.

Copy link

commented Sep 21, 2019

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

Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
None yet
3 participants
You can’t perform that action at this time.