public double exactSolution(double asset, double time) {
setup(asset, time);
return -asset * Math.exp(-dividend * (maturityTime - time)) * SpecialFunctions.normalCdf(-d[0])
+ strike
* Math.exp(-interestRate * (maturityTime - time))
* SpecialFunctions.normalCdf(-d[1]);
}
public double exactDelta(double asset, double time) {
setup(asset, time);
return Math.exp(-dividend * dt) * (SpecialFunctions.normalCdf(d[0]) - 1);
}
public double exactTheta(double asset, double time) {
setup(asset, time);
return -volatility * asset * Math.exp(-dividend * dt) * nPrime(-d[0]) / (2 * Math.sqrt(dt))
- dividend * asset * SpecialFunctions.normalCdf(-d[0]) * Math.exp(-dividend * dt)
+ interestRate * strike * Math.exp(-interestRate * dt) * SpecialFunctions.normalCdf(-d[1]);
}
