Package: AsianOption
Type: Package
Title: Asian Option Pricing under Price Impact
Version: 0.2.0
Date: 2026-03-10
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 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.
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: 2026-03-09 21:42:43 UTC; priyanshutiwari
Author: Priyanshu Tiwari [aut, cre] (ORCID:
    <https://orcid.org/0009-0007-8917-4689>),
  Sourav Majumdar [ctb]
Repository: CRAN
Date/Publication: 2026-03-10 09:50:19 UTC
Built: R 4.6.0; x86_64-apple-darwin20; 2026-04-26 11:38:11 UTC; unix
Archs: AsianOption.so.dSYM
