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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 04 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
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Complete documentation for AsianOption
Functions, R codes and Examples using the AsianOption R package
Full AsianOption package functions and examples
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