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A sample of the code in C++

*Equity Options*

Cox, Ross, Rubinstein Binomial Tree

Extrapolated Flexible Binomial Tree

Flexible binomial tree of Tian (1999)

Trinomial Tree for American and European options

Edgeworth Binomial Tree of Rubinstein (1998)

Black Scholes Price and Greeks

Black Scholes by Simulation

Leisen-Reimer Binomial Tree

Adaptative Mesh Method Trinomial Tree

Practitioner (Ad hoc) Black Scholes Model

Gram Charlier Option Price

Black Scholes Implied Volatility Using S&P500 Option Prices

Variance Gamma Model for European options with Madan and Milne

Formulation

Duan (1995) GARCH Option Pricing Model on S&P 100 Index

*Heston Model*

Heston Model, Original Formulation Using Boole's Integration Rule

Heston Call Price by Simulation

Heston Model Parameter Estimation Using S&P500 Options

Heston and Nandi (2000) Using the Trapezoidal Rule

Heston and Nandi (2000) Parameter Estimation Using S&P500 Options

*Exotic Options*

Lattice for Floating Strike Lookback Option

Average Price Asian Option

Straddle Option Price

*Mathematical and Statistical Functions*

N(0,1) CDF by numerical integration and N(0,1) inverse values

N(0,1) CDF approximation

Matrix inversion, minors, and other operations

Natural Cubic Spline Interpolation

Nelder Mead minimization algorithm

GARCH(1,1) Parameter Estimation Using S&P500

RiskMetrics Volatility and Correlation

Numerical Integration Algorithms

*Swaps*

Variance Swap Demeterfi, Derman, Kamal, and Zou (1999)