The hardware and bandwidth for this mirror is donated by dogado GmbH, the Webhosting and Full Service-Cloud Provider. Check out our Wordpress Tutorial.
If you wish to report a bug, or if you are interested in having us mirror your free-software or open-source project, please feel free to contact us at mirror[@]dogado.de.
AsianOption implements binomial tree pricing for Asian options incorporating market price impact from hedging activities. The package extends the Cox-Ross-Rubinstein (CRR) binomial model to account for price movements caused by large hedging trades.
# Install from CRAN
install.packages("AsianOption")
# Development version from GitHub
# install.packages("devtools")
devtools::install_github("plato-12/AsianOption")library(AsianOption)
# Price a geometric Asian call option with price impact
price <- price_geometric_asian(
S0 = 100, # Initial stock price
K = 100, # Strike price
r = 1.05, # Gross risk-free rate (5%)
u = 1.2, # Up factor
d = 0.8, # Down factor
lambda = 0.1, # Price impact coefficient
v_u = 1, # Hedging volume (up)
v_d = 1, # Hedging volume (down)
n = 10 # Time steps
)
print(price)# Compute bounds for arithmetic Asian options
bounds <- arithmetic_asian_bounds(
S0 = 100, K = 100, r = 1.05,
u = 1.2, d = 0.8,
lambda = 0.1, v_u = 1, v_d = 1, n = 5
)
print(bounds)# For n > 20, Monte Carlo is automatically used
result <- price_geometric_asian(
S0 = 100, K = 100, r = 1.05, u = 1.2, d = 0.8,
lambda = 0.1, v_u = 1, v_d = 1, n = 50
)
#> Using Monte Carlo method for n=50 (> 20) with 100000 simulations
# Get full Monte Carlo output with error estimates
mc_result <- price_geometric_asian_mc(
S0 = 100, K = 100, r = 1.05, u = 1.2, d = 0.8,
lambda = 0.1, v_u = 1, v_d = 1, n = 50,
n_simulations = 100000, seed = 42
)
print(mc_result)
#> Geometric Asian Option Price (Monte Carlo)
#> ==========================================
#> Price: 13.899166
#> Std Error: 0.109300 (0.79%)
#> 95% CI: [13.684937, 14.113395]
#> Simulations: 100000price_geometric_asian(): Price geometric Asian options
(calls/puts)price_geometric_asian_mc(): Monte Carlo pricing with
error estimatesarithmetic_asian_bounds(): Bounds for arithmetic Asian
optionscompute_p_adj(): Compute adjusted risk-neutral
probabilitycheck_no_arbitrage(): Validate no-arbitrage
conditionsIf you use this package in your research, please cite:
Tiwari, P., & Majumdar, S. (2025). Asian option valuation under price impact. arXiv preprint. https://doi.org/10.48550/arXiv.2512.07154
GPL (>= 3)
These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
Health stats visible at Monitor.