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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 · 2 comments

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@saxena-ashish-g
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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/american_option.py. It should support both puts and calls. Tests should be in american_option_test.py in the same folder.

@kwonhur

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commented Sep 21, 2019

Hi,
Can I work on this issue? Thanks

@cyrilchim

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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

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