Last updated: 2023-03-16.
Module: tf_quant_finance.models.heston.approximations#
Approximations to the Heston model.
Functions#
asian_option_price(...): Computes the Heston price for a batch of asian options.
calibration(...): Calibrates the Heston model using European option prices.
european_option_price(...): Calculates European option prices under the Heston model.