Asian Option Pricing under Price Impact
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Documentation for package ‘AsianOption’ version 0.2.0
Help Pages
| arithmetic_asian_bounds | Bounds for Arithmetic Asian Option with Price Impact |
| arithmetic_asian_bounds_transient | Bounds for Arithmetic Asian Option with Transient Price Impact |
| check_no_arbitrage | Check No-Arbitrage Condition |
| compute_adjusted_factors | Compute Adjusted Up and Down Factors |
| compute_p_adj | Compute Adjusted Risk-Neutral Probability |
| price_arithmetic_asian_diffusion | Arithmetic Asian Option Price via Euler-Maruyama Monte Carlo (Exogenous Diffusion) |
| price_arithmetic_asian_hjb | Price Arithmetic Asian Option via HJB Bellman Scheme (Endogenous Impact) |
| price_black_scholes_call | Black-Scholes European Call Option Price |
| price_black_scholes_put | Black-Scholes European Put Option Price |
| price_european | Price European Option with Price Impact |
| price_geometric_asian | Price Geometric Asian Option with Price Impact |
| price_geometric_asian_diffusion | Geometric Asian Option Price in Exogenous Diffusion Limit |
| price_geometric_asian_hjb | Price Geometric Asian Option via HJB Bellman Scheme (Endogenous Impact) |
| price_geometric_asian_transient | Price Geometric Asian Option with Transient and Permanent Price Impact |
| price_kemna_vorst_arithmetic | Kemna-Vorst Arithmetic Average Asian Option |
| price_kemna_vorst_geometric | Kemna-Vorst Geometric Average Asian Option |
| print.arithmetic_bounds | Print Method for Arithmetic Asian Bounds |
| print.hjb_asian | Print method for HJB Asian option results |
| print.kemna_vorst_arithmetic | Print Method for Kemna-Vorst Arithmetic Results |
| summary.kemna_vorst_arithmetic | Summary Method for Kemna-Vorst Arithmetic Results |