google / google/tf-quant-finance
Analytical approximation for a spread-option price under Black-Scholes
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Description
Spread-options are particularly popular in commodity markets. A simple [Kirk's approximation](https://www.sciencedirect.com/science/article/pii/S0893965913001171) 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.
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