private static Dual Normsdist(Dual z)
{
return(1 / (1.0 + MathDual.Exp(-1.7 * z)));
}
private static Dual D1(Dual S, Dual K, Dual vol, Dual T, Dual r)
{
return((MathDual.Log(S / K) + (r + vol * vol / 2) * T) / (vol * MathDual.Sqrt(T)));
}
private static Dual D2(Dual S, Dual K, Dual vol, Dual T, Dual r)
{
return(D1(S, K, vol, T, r) - vol * MathDual.Sqrt(T));
}
public static Dual VanillaCall(Dual S, Dual K, Dual vol, Dual T, Dual r)
{
return(S * Normsdist(D1(S, K, vol, T, r)) - K * MathDual.Exp(-1.0 * r * T) * Normsdist(D2(S, K, vol, T, r)));
}