Package: AsianOption
Type: Package
Title: Asian Option Pricing with Price Impact
Version: 0.1.0
Date: 2025-12-04
Authors@R: c(
    person("Priyanshu", "Tiwari",
           email = "tiwari.priyanshu.iitk@gmail.com",
           role = c("aut", "cre"),
           comment = c(ORCID = "0009-0007-8917-4689")),
    person("Sourav", "Majumdar",
           email = "souravm@iitk.ac.in",
           role = c("ctb"))
    )
Maintainer: Priyanshu Tiwari <tiwari.priyanshu.iitk@gmail.com>
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>.
License: GPL (>= 3)
URL: https://github.com/plato-12/AsianOption
BugReports: https://github.com/plato-12/AsianOption/issues
Encoding: UTF-8
Depends: R (>= 4.0.0)
Imports: Rcpp (>= 1.0.0)
LinkingTo: Rcpp
Suggests: testthat (>= 3.0.0), covr
RoxygenNote: 7.3.3
NeedsCompilation: yes
Packaged: 2025-12-17 20:11:49 UTC; priyanshutiwari
Author: Priyanshu Tiwari [aut, cre] (ORCID:
    <https://orcid.org/0009-0007-8917-4689>),
  Sourav Majumdar [ctb]
Repository: CRAN
Date/Publication: 2025-12-22 18:20:02 UTC
Built: R 4.5.2; x86_64-w64-mingw32; 2026-02-22 01:49:11 UTC; windows
Archs: x64
