AsianOption: Asian Option Pricing with Price Impact
Implements binomial tree pricing for geometric and arithmetic Asian options incorporating market price impact from hedging activities. Uses the Cox-Ross-Rubinstein (CRR) model with the replicating portfolio method. Provides exact pricing for geometric Asian options and bounds for arithmetic Asian options based on Jensen's inequality. The price impact mechanism models how hedging volumes affect stock prices, leading to modified risk-neutral probabilities. Based on the methodology described in Tiwari and Majumdar (2025) <doi:10.48550/arXiv.2512.07154>.
| Version: | 0.1.0 |
| Depends: | R (≥ 4.0.0) |
| Imports: | Rcpp (≥ 1.0.0) |
| LinkingTo: | Rcpp |
| Suggests: | testthat (≥ 3.0.0), covr |
| Published: | 2025-12-22 |
| DOI: | 10.32614/CRAN.package.AsianOption (may not be active yet) |
| 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_0.1.0.tar.gz |
| Windows binaries: | r-devel: not available, r-release: not available, r-oldrel: not available |
| macOS binaries: | r-release (arm64): AsianOption_0.1.0.tgz, r-oldrel (arm64): AsianOption_0.1.0.tgz, r-release (x86_64): not available, r-oldrel (x86_64): AsianOption_0.1.0.tgz |
Linking:
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