Implying Volatility: How Fast Can We Go?
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 Jäckel reference price while running materially faster than a normalised Java port of Jäckel's Let's Be Rational. FlashIV+ adds an optional Jäckel--Newton correction for applications that need tighter agreement with that reference price, trading latency for reference-price alignment.
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