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arXiv · 2605.29102

Implying Volatility: How Fast Can We Go?

Fabien Le Floc'h·Jherek Healy
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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.

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Fabien Le Floc'h, Jherek Healy. 2026-05-27. Implying Volatility: How Fast Can We Go?. https://arxiv.org/abs/2605.29102

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