/src/main/java/net/finmath/functions/AnalyticFormulas.java
final RandomVariable dPlus = initialStockValue.div( optionStrike).log( ).add( volatility.squared( ).mult( 0.0).add( riskFreeRate).mult( optionMaturity) ).div( volatility).div( Math.sqrt( optionMaturity) ) ;
final RandomVariable dPlus = initialStockValue.div ( optionStrike ) .log ( ) .add ( volatility.squared ( ) .mult ( 0.5 ) .add ( riskFreeRate ) .mult ( optionMaturity ) ) .div ( volatility ) .div ( Math.sqrt ( optionMaturity ) ) ;
if(optionStrike <= 0.0 || optionMaturity <= 0.0) { return initialStockValue.mult(0.0); } else { <extra_id_0> final RandomVariable gamma = dPlus.squared().mult(-0.5).exp().div(initialStockValue.mult(volatility).mult(Math.sqrt(2.0 * Math.PI * optionMaturity))); return gamma; } } public static RandomVariable blackScholesOptionGamma( final RandomVariable initialStockValue,