AsianOption: Asian Option Pricing under Price Impact
Implements the framework of Tiwari and Majumdar (2025) <doi:10.48550/arXiv.2512.07154> for valuing arithmetic and geometric Asian options under transient and permanent market impact. Provides three pricing approaches: Kemna-Vorst frictionless benchmarks, exogenous diffusion pricing (closed-form for geometric, Monte Carlo for arithmetic), and endogenous Hamilton-Jacobi-Bellman valuation via a tree-based Bellman scheme producing indifference bid-ask prices.
| Version: | 0.2.0 |
| Depends: | R (≥ 4.0.0) |
| Imports: | Rcpp (≥ 1.0.0) |
| LinkingTo: | Rcpp |
| Suggests: | testthat (≥ 3.0.0), covr |
| Published: | 2026-03-10 |
| DOI: | 10.32614/CRAN.package.AsianOption |
| Author: | Priyanshu Tiwari 
[aut, cre],
Sourav Majumdar [ctb] |
| Maintainer: | Priyanshu Tiwari <tiwari.priyanshu.iitk at gmail.com> |
| BugReports: | https://github.com/plato-12/AsianOption/issues |
| License: | GPL (≥ 3) |
| URL: | https://github.com/plato-12/AsianOption |
| NeedsCompilation: | yes |
| Materials: | README |
| CRAN checks: | AsianOption results |
Documentation:
| Reference manual: | AsianOption.html , AsianOption.pdf |
Downloads:
| Package source: | AsianOption_0.2.0.tar.gz |
| Windows binaries: | r-devel: AsianOption_0.1.0.zip, r-release: AsianOption_0.1.0.zip, r-oldrel: AsianOption_0.2.0.zip |
| macOS binaries: | r-release (arm64): AsianOption_0.2.0.tgz, r-oldrel (arm64): AsianOption_0.2.0.tgz, r-release (x86_64): AsianOption_0.2.0.tgz, r-oldrel (x86_64): AsianOption_0.2.0.tgz |
| Old sources: | AsianOption archive |
Linking:
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