public static double blackScholesATMOptionValue ( double volatility , double optionMaturity , double forward , double payoffUnit ) { if ( optionMaturity < 0 ) { return 0.0 ; } // Calculate analytic value double dPlus = 0.5 * volatility * Math . sqrt ( optionMaturity ) ; double dMinus = - dPlus ; double valueAnalytic = ( NormalDistribution . cumulativeDistribution ( dPlus ) - NormalDistribution . cumulativeDistribution ( dMinus ) ) * forward * payoffUnit ; return valueAnalytic ; }
Calculates the Black - Scholes option value of an atm call option .