Asian Option Pricing with Price Impact
Bounds for Arithmetic Asian Option with Price Impact
AsianOption: Asian Option Pricing with Price Impact
Check No-Arbitrage Condition
Compute Adjusted Up and Down Factors
Compute Adjusted Risk-Neutral Probability
Black-Scholes European Call Option Price
Black-Scholes European Put Option Price
Price European Option with Price Impact
Price Geometric Asian Option with Price Impact
Kemna-Vorst Arithmetic Average Asian Option
Kemna-Vorst Geometric Average Asian Option
Print Method for Arithmetic Asian Bounds
Print Method for Kemna-Vorst Arithmetic Results
Summary Method for Kemna-Vorst Arithmetic Results
Validate Input Parameters for Asian Option Pricing
Implements binomial tree pricing for geometric and arithmetic Asian options incorporating market price impact from hedging activities. Uses the Cox-Ross-Rubinstein (CRR) model with the replicating portfolio method. Provides exact pricing for geometric Asian options and bounds for arithmetic Asian options based on Jensen's inequality. The price impact mechanism models how hedging volumes affect stock prices, leading to modified risk-neutral probabilities. Based on the methodology described in Tiwari and Majumdar (2025) <doi:10.48550/arXiv.2512.07154>.