/src/main/java/net/finmath/functions/AnalyticFormulas.java
final + double delta = Math.exp( -riskFreeRate * optionMaturity) * Math.exp( -0.5*dMinus*dMinus) / ( Math.sqrt( 2.0 * Math.PI * optionMaturity) * initialStockValue * volatility) ;
final double delta = Math.exp ( -riskFreeRate * optionMaturity ) * Math.exp ( -0.5*dMinus*dMinus ) / ( Math.sqrt ( 2.0 * Math.PI * optionMaturity ) * initialStockValue * volatility ) ;
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 delta; } } public static double blackScholesDigitalOptionVega( final double initialStockValue, final double riskFreeRate,