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# CITATION file created with {cffr} R package
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cff-version: 1.2.0
message: 'To cite package "AsianOption" in publications use:'
type: software
license: GPL-3.0-or-later
title: 'AsianOption: Asian Option Pricing under Price Impact'
version: 0.2.0
doi: 10.32614/CRAN.package.AsianOption
abstract: 'Implements the framework of Tiwari and Majumdar (2025) <https://doi.org/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:
- family-names: Tiwari
  given-names: Priyanshu
  email: tiwari.priyanshu.iitk@gmail.com
  orcid: https://orcid.org/0009-0007-8917-4689
repository: https://plato-12.r-universe.dev
repository-code: https://github.com/plato-12/AsianOption
commit: cd02830358310a50118618f3f663737cb10eee67
url: https://github.com/plato-12/AsianOption
date-released: '2026-03-09'
contact:
- family-names: Tiwari
  given-names: Priyanshu
  email: tiwari.priyanshu.iitk@gmail.com
  orcid: https://orcid.org/0009-0007-8917-4689