AsianOption

Asian Option Pricing under Price Impact

v0.2.0 · Mar 10, 2026 · GPL (>= 3)

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.

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CRAN Check Status

4 NOTE

10 OK

Show all 14 flavors

Flavor	Status	Time
r-devel-linux-x86_64-debian-clang	NOTE	181.1s
r-devel-linux-x86_64-debian-gcc	NOTE	125.6s
r-devel-linux-x86_64-fedora-clang	OK	345.2s
r-devel-linux-x86_64-fedora-gcc	OK	356.6s
r-devel-macos-arm64	OK	38s
r-devel-windows-x86_64	NOTE	293s
r-oldrel-macos-arm64	OK	65s
r-oldrel-macos-x86_64	OK	316s
r-oldrel-windows-x86_64	OK	306s
r-patched-linux-x86_64	NOTE	176.9s
r-release-linux-x86_64	OK	169.2s
r-release-macos-arm64	OK	52s
r-release-macos-x86_64	OK	308s
r-release-windows-x86_64	OK	291s

Check details (4 non-OK)

NOTE r-devel-linux-x86_64-debian-clang

compiled code

File ‘AsianOption/libs/AsianOption.so’:
  Found non-API call to R: ‘R_UnboundValue’

Compiled code should not call non-API entry points in R.

See ‘Writing portable packages’ in the ‘Writing R Extensions’ manual,
and section ‘Moving into C API compliance’ for issues with the use of
non-API entry points.

NOTE r-devel-linux-x86_64-debian-gcc

compiled code

File ‘AsianOption/libs/AsianOption.so’:
  Found non-API call to R: ‘R_UnboundValue’

Compiled code should not call non-API entry points in R.

See ‘Writing portable packages’ in the ‘Writing R Extensions’ manual,
and section ‘Moving into C API compliance’ for issues with the use of
non-API entry points.

NOTE r-devel-windows-x86_64

compiled code

File 'AsianOption/libs/x64/AsianOption.dll':
  Found non-API call to R: 'R_UnboundValue'

Compiled code should not call non-API entry points in R.

See 'Writing portable packages' in the 'Writing R Extensions' manual,
and section 'Moving into C API compliance' for issues with the use of
non-API entry points.

NOTE r-patched-linux-x86_64

compiled code

File ‘AsianOption/libs/AsianOption.so’:
  Found non-API call to R: ‘R_UnboundValue’

Compiled code should not call non-API entry points in R.

See ‘Writing portable packages’ in the ‘Writing R Extensions’ manual,
and section ‘Moving into C API compliance’ for issues with the use of
non-API entry points.

Check History

NOTE 13 OK · 1 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 27, 2026

NOTE r-devel-linux-x86_64-debian-gcc

compiled code

File ‘AsianOption/libs/AsianOption.so’:
  Found non-API call to R: ‘R_UnboundValue’

Compiled code should not call non-API entry points in R.

See ‘Writing portable packages’ in the ‘Writing R Extensions’ manual,
and section ‘Moving into C API compliance’ for issues with the use of
non-API entry points.

OK 14 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 10, 2026

Dependency Network

Version History

new 0.2.0 Mar 10, 2026

new 0.1.0 Dec 21, 2025