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AsianOption
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", "0.1.0") Attach the package and use:
library("AsianOption")
Maintained by
Priyanshu Tiwari
[Scholar Profile | Author Map]
[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 with Price Impact. R package version 0.1.0, https://cran.r-project.org/web/packages/AsianOption. Accessed 14 Mar. 2026.
Previous versions and publish date:
0.1.0 (2025-12-22 19:20)
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