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

[cyrilchim]

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.

[gmxq]

@cyrilchim May I work on this issue?

[cyrilchim]

@gmxq: Thank you for reaching out. I'm assigning the issue to you. Please let us know if you have any questions.

[saxena-ashish-g]

@gmxq Are you still working on this issue?

[gmxq]

@saxena-ashish-g Hi yes, I will submit it shortly. Sorry for the delay here.

[abhishekmittal15]

Hi, is this issue still open?

[cyrilchim]

I don't think this was ever finished. @gmxq, was there any progress?

[gmxq]

Sorry I dont have progress on this. I unassigned myself. Feel free to take it over.

[alv128]

Hi @cyrilchim, is this issue still open? If yes, I would like to work on it.

[cyrilchim]

Yeap, this is now assigned!

[alv128]

Hi @cyrilchim I have made a PR with a solution proposal