Implying Volatility: How Fast Can We Go?
Computational Finance
2026-05-29 v1
Abstract
FlashIV is a low-latency Black--Scholes implied-volatility solver for production use. It normalises each input to an out-of-the-money price and solves a tail-stable erfcx/log-price residual. The hot path combines a cheap Li/asymptotic seed with a fixed, branch-light Householder refinement and guarded boundary handling. Across regular and stressed benchmarks, FlashIV stays close to the expanded J\"ackel reference price while running materially faster than a normalised Java port of J\"ackel's \emph{Let's Be Rational}. FlashIV+ adds an optional J\"ackel--Newton correction for applications that need tighter agreement with that reference price, trading latency for reference-price alignment.
Cite
@article{arxiv.2605.29102,
title = {Implying Volatility: How Fast Can We Go?},
author = {Fabien Le Floc'h and Jherek Healy},
journal= {arXiv preprint arXiv:2605.29102},
year = {2026}
}