Asian option valuation under price impact

By Priyanshu Tiwari, Sourav Majumdar

Published 2026-02-21

Everscope rating

1936.2

Relevance to quantitative trading

8 / 10

Implementation complexity

8 / 10

Reproducibility

4 / 5

About this paper

Methodology: Stochastic Control with Diffusion Limits and Bellman Recursion. Problem types: Option Pricing, Stochastic Control, Optimization, Risk Management, Algorithmic Execution, Market Making.

arXiv:2512.07154 · Paper rankings

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