Other packages > Find by keyword >

AsianOption  

Asian Option Pricing under Price Impact
View on CRAN: Click here


Download and install AsianOption package within the R console
Install from CRAN:
install.packages("AsianOption")

Install from Github:
library("remotes")
install_github("cran/AsianOption")

Install by package version:
library("remotes")
install_version("AsianOption", "0.2.0")



Attach the package and use:
library("AsianOption")
Maintained by
Priyanshu Tiwari
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2025-12-22
Latest Update: 2025-12-22
Description:
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>.
How to cite:
Priyanshu Tiwari (2025). AsianOption: Asian Option Pricing under Price Impact. R package version 0.2.0, https://cran.r-project.org/web/packages/AsianOption. Accessed 25 Oct. 2026.
Previous versions and publish date:
0.1.0 (2025-12-22 19:20), (2026-07-09 07:57)
Other packages that cited AsianOption R package
View AsianOption citation profile
Other R packages that AsianOption depends, imports, suggests or enhances
Complete documentation for AsianOption
Functions, R codes and Examples using the AsianOption R package
Full AsianOption package functions and examples
Downloads during the last 30 days

Today's Hot Picks in Authors and Packages

CTT  
Classical Test Theory Functions
A collection of common test and item analyses from a classical test theory (CTT) framework. Analyses ...
Download / Learn more Package Citations See dependency  
nlstools  
Tools for Nonlinear Regression Analysis
Several tools for assessing the quality of fit of a gaussian nonlinear model are provided. ...
Download / Learn more Package Citations See dependency  
fstcore  
R Bindings to the 'Fstlib' Library
The 'fstlib' library provides multithreaded serialization of compressed data frames using the 'fst' ...
Download / Learn more Package Citations See dependency  
RcmdrPlugin.aRnova  
R Commander Plug-in for Repeated-Measures ANOVA
R Commander plug-in for repeated-measures and mixed-design ('split-plot') ANOVA. It adds a new men ...
Download / Learn more Package Citations See dependency  
imputeTS  
Time Series Missing Value Imputation
Imputation (replacement) of missing values in univariate time series. Offers several imputation fu ...
Download / Learn more Package Citations See dependency  
guardianapi  
Access 'The Guardian' Newspaper Open Data API
Access to 'The Guardian' newspaper's open API , containing ...
Download / Learn more Package Citations See dependency  

29,218

R Packages

247,686

Dependencies

77,281

Author Associations

29,219

Publication Badges

© Copyright since 2022. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA