fExoticOptions is the package which implements the following options:
AmericanExchangeOption Valuation of Mutiple Assets Options
AsianOptions Valuation of Asian Options
AssetOrNothingOption Valuation of Binary Options
BarrierOptions Valuation of Barrier Options
BinaryBarrierOption Valuation of Binary Options
BinaryOptions Valuation of Binary Options
CashOrNothingOption Valuation of Binary Options
ComplexChooserOption Valuation of Mutiple Exercises Options
CurrencyTranslatedOptions Valuation of Currency Translated Options
DiscreteBarrierOption Valuation of Barrier Options
DoubleBarrierOption Valuation of Barrier Options
EquityLinkedFXOption Valuation of Currency Translated Options
EuropeanExchangeOption Valuation of Mutiple Assets Options
ExchangeOnExchangeOption Valuation of Mutiple Assets Options
ExecutiveStockOption Valuation of Mutiple Exercises Options
ExtremeSpreadOption Valuation of Lookback Options
FEInDomesticFXOption Valuation of Currency Translated Options
FixedStrikeLookbackOption Valuation of Lookback Options
FloatingStrikeLookbackOption Valuation of Lookback Options
ForwardStartOption Valuation of Mutiple Exercises Options
GapOption Valuation of Binary Options
GeometricAverageRateOption Valuation of Asian Options
HolderExtendibleOption Valuation of Mutiple Exercises Options
LevyAsianApproxOption Valuation of Asian Options
LookbackOptions Valuation of Lookback Options
LookBarrierOption Valuation of Barrier Options
MultipleAssetsOptions Valuation of Mutiple Assets Options
MultipleExercisesOptions Valuation of Mutiple Exercises Options
OptionOnOption Valuation of Mutiple Exercises Options
PTFixedStrikeLookbackOption Valuation of Lookback Options
PTFloatingStrikeLookbackOption Valuation of Lookback Options
PTSingleAssetBarrierOption Valuation of Barrier Options
PTTwoAssetBarrierOption Valuation of Barrier Options
QuantoOption Valuation of Currency Translated Options
RatchetOption Valuation of Mutiple Exercises Options
SimpleChooserOption Valuation of Mutiple Exercises Options
SoftBarrierOption Valuation of Barrier Options
SpreadApproxOption Valuation of Mutiple Assets Options
StandardBarrierOption Valuation of Barrier Options
SuperShareOption Valuation of Binary Options
TakeoverFXOption Valuation of Currency Translated Options
TimeSwitchOption Valuation of Mutiple Exercises Options
TurnbullWakemanAsianApproxOption Valuation of Asian Options
TwoAssetBarrierOption Valuation of Barrier Options
TwoAssetCashOrNothingOption Valuation of Binary Options
TwoAssetCorrelationOption Valuation of Mutiple Assets Options
TwoRiskyAssetsOption Valuation of Mutiple Assets Options
WriterExtendibleOption Valuation of Mutiple Exercises Options

Please refer http://www.quantcode.com/modules/smartfaq/faq.php?faqid=8 for more information on getting started with R and installing a package