ATOM - Advanced Tool for Option Modelling: features

ATOM - Advanced Tool for Option Modelling is a C++ option calculator for Windows featuring:

price, implied volatility and Greek letters;
Black-Scholes analytic formula;
binomial tree lattice;
- Cox-Ross-Rubinstein parametrisation;
- Jarrow-Rudd equal-probabilitiy parametrisation;
- control variable technique;
- Broadie-Detemple penultimate node analytic approximation;
Montecarlo simulation with the following variance reduction and normal sampling techniques:
- antithetic variable;
- moment matching, also known as quadratic re-sampling;
- Mersenne Twister pseudo-random numbers;
- Halton quasi-random numbers;
- Box-Muller polar normal inversion;
- Moro normal inversion;
unlimited maximum number of steps in binomial trees and unlimited maximum number of trials and time intervals in Montecarlo simulations;
exotic option support: Asian average price, binary cash-or-nothing and asset-or-nothing, chooser;
four kinds of underlying assets: stock, currency, index, futures.