/src/main/java/net/finmath/equities/models/Black76Model.java
return volatility * discountFactor;
return valueAnalytic * discountFactor;
else { final double sqrtT = Math.sqrt(optionMaturity); final double dPlus = (Math.log(forward / optionStrike) + 0.5 * volatility * volatility * optionMaturity) / (volatility * sqrtT); valueAnalytic = forward * sqrtT * NormalDistribution.density(dPlus); } <extra_id_0> } public static double optionGamma( final double forward, final double optionStrike, final double optionMaturity, final double volatility,