check_no_arbitrage: Check No-Arbitrage Condition

In AsianOption: Asian Option Pricing with Price Impact

Check No-Arbitrage Condition

Description

Verifies that the no-arbitrage condition \tilde{d} < r < \tilde{u} holds.

Usage

check_no_arbitrage(r, u, d, lambda, v_u, v_d)

Arguments

r	Gross risk-free rate per period
u	Base up factor
d	Base down factor
lambda	Price impact coefficient
v_u	Hedging volume on up move
v_d	Hedging volume on down move

Value

Logical: TRUE if condition holds, FALSE otherwise

Examples

check_no_arbitrage(r = 1.05, u = 1.2, d = 0.8, lambda = 0.1, v_u = 1, v_d = 1)

AsianOption documentation built on Dec. 23, 2025, 1:08 a.m.