Calculate the exponential moving average of a stream of numbers

public static IEnumerable<double> ExponentialMovingAverage(this IEnumerable<double> source, double alpha)
{
    double? last = null;
    return source.Select(
        value =>
        {
            var average = last != null ? alpha*value + (1 - alpha)*last.Value : value;
            last = average;
            return average;
        });
}