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