According to @rspadim, functions in entropy.py could use numpy array instead of strings, as it's better to numba.

Guide on how to implement this is available in the comments in PR #311 .

Heston model has accurate density approximations for European option prices, which are of interest.

The module implementing this method should live under tf_quant_finance/volatility/heston_approximation.py. It should support both European option puts and calls approximations. Tests should be in heston_approximation_test.py in the same folder.