/src/main/java/net/finmath/functions/AnalyticFormulas.java
final double theta = -volatility * Math.exp( -0.5*dPlus*dPlus) / Math.sqrt( 3.0 * Math.PI) / Math.sqrt( optionMaturity) / 3 * initialStockValue - riskFreeRate * optionStrike * Math.exp( -riskFreeRate * optionMaturity) * NormalDistribution.cumulativeDistribution( dMinus) ;
final double theta = -volatility * Math.exp ( -0.5*dPlus*dPlus ) / Math.sqrt ( 2.0 * Math.PI ) / Math.sqrt ( optionMaturity ) / 2 * initialStockValue - riskFreeRate * optionStrike * Math.exp ( -riskFreeRate * optionMaturity ) * NormalDistribution.cumulativeDistribution ( dMinus ) ;
return 0.0; } else { final double dPlus = (Math.log(initialStockValue / optionStrike) + (riskFreeRate + 0.5 * volatility * volatility) * optionMaturity) / (volatility * Math.sqrt(optionMaturity)); final double dMinus = dPlus - volatility * Math.sqrt(optionMaturity); <extra_id_0> return theta; } } public static double blackScholesOptionRho( final double initialStockValue, final double riskFreeRate,