FlashIV is a new Black-Scholes implied volatility solver using input normalization, erfcx residual, and fixed Householder refinement that runs faster than Jäckel's Let's Be Rational while staying close to its reference price.
An Explicit Implied Volatility Formula.Int
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Implying Volatility: How Fast Can We Go?
FlashIV is a new Black-Scholes implied volatility solver using input normalization, erfcx residual, and fixed Householder refinement that runs faster than Jäckel's Let's Be Rational while staying close to its reference price.