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

spread-option pricing #93

Open
wants to merge 1 commit into
base: master
Choose a base branch
from
Open

Conversation

alv128
Copy link

@alv128 alv128 commented Mar 23, 2023

PR for Issue #6 . Implemented the analytical approximation for a spread-option price under Black-Scholes. Files are under tf-quant-finance/black-scholes, called spread_option.py and the corresponding test file spread_option_test.py

Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Labels
None yet
Projects
None yet
Development

Successfully merging this pull request may close these issues.

1 participant