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| Autori principali: | , |
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| Natura: | Preprint |
| Pubblicazione: |
2026
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| Soggetti: | |
| Accesso online: | https://arxiv.org/abs/2605.29102 |
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| _version_ | 1866914611724288000 |
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| author | Floc'h, Fabien Le Healy, Jherek |
| author_facet | Floc'h, Fabien Le Healy, Jherek |
| contents | 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 \emph{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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2605_29102 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Implying Volatility: How Fast Can We Go? Floc'h, Fabien Le Healy, Jherek Computational Finance 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 \emph{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. |
| title | Implying Volatility: How Fast Can We Go? |
| topic | Computational Finance |
| url | https://arxiv.org/abs/2605.29102 |