Package: AsianOption 0.2.0

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.

Authors:Priyanshu Tiwari [aut, cre], Sourav Majumdar [ctb]

AsianOption_0.2.0.tar.gz
AsianOption_0.2.0.zip(r-4.7)AsianOption_0.2.0.zip(r-4.6)AsianOption_0.2.0.zip(r-4.5)
AsianOption_0.2.0.tgz(r-4.6-x86_64)AsianOption_0.2.0.tgz(r-4.6-arm64)AsianOption_0.2.0.tgz(r-4.5-x86_64)AsianOption_0.2.0.tgz(r-4.5-arm64)
AsianOption_0.2.0.tar.gz(r-4.7-arm64)AsianOption_0.2.0.tar.gz(r-4.7-x86_64)AsianOption_0.2.0.tar.gz(r-4.6-arm64)AsianOption_0.2.0.tar.gz(r-4.6-x86_64)
AsianOption_0.2.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
card.svg |card.png
AsianOption/json (API)

# Install 'AsianOption' in R:
install.packages('AsianOption', repos = c('https://plato-12.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/plato-12/asianoption/issues

Uses libs:
  • c++– GNU Standard C++ Library v3

On CRAN:

Conda:

cpp

3.30 score 6 scripts 523 downloads 6 exports 1 dependencies

Last updated from:cd02830358. Checks:13 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-arm64OK122
linux-devel-x86_64OK123
source / vignettesOK155
linux-release-arm64OK117
linux-release-x86_64OK125
macos-release-arm64OK166
macos-release-x86_64OK431
macos-oldrel-arm64OK186
macos-oldrel-x86_64OK429
windows-develOK125
windows-releaseOK140
windows-oldrelOK112
wasm-releaseOK106

Exports:price_arithmetic_asian_diffusionprice_arithmetic_asian_hjbprice_geometric_asian_diffusionprice_geometric_asian_hjbprice_kemna_vorst_arithmeticprice_kemna_vorst_geometric

Dependencies:Rcpp