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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 ORCID iD [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_0.1.0.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:

Please use the canonical form https://CRAN.R-project.org/package=AsianOption to link to this page.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.