Discrete geometric pricer under Heston vol #83
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Impacts #56 |
cyrilchim
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Dec 12, 2022
tf_quant_finance/models/heston/approximations/asian_prices_test.py
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Mostly fixed, a few comments inline ^^ |
cyrilchim
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Jan 4, 2023
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Thanks for all of the feedback - I've made the changes you suggest, let me know if you're happy with the current state of the code and I can squash the commits. |
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Looks very good! Thank you! Could you please squash and I will start the merge process |
Discrete geometric pricer under Heston vol Some fixes
jackgillett101
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Done |
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Thank you, @jackgillett101 and so sorry for the wait! I have cleaned up the code a bit to make sure it works with dynamic shapes and have merged the commit |
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Pricing discrete geometric asians under Heston volatility, using the method described by B. Kim, J. Kim, J. Kim & I. S. Wee in "A Recursive Method for Discretely Monitored Geometric Asian Option Prices"