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
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: AsianOption_0.1.0.zip, r-release: AsianOption_0.1.0.zip, r-oldrel: AsianOption_0.1.0.zip
macOS binaries:	r-release (arm64): AsianOption_0.1.0.tgz, r-oldrel (arm64): AsianOption_0.1.0.tgz, r-release (x86_64): AsianOption_0.1.0.tgz, r-oldrel (x86_64): AsianOption_0.1.0.tgz

Linking:

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