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.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
0.2.0 |
2026-04-09 windows/windows R-4.5 | AsianOption_0.2.0.zip |
551.1 KiB |