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