Quant Mashup - Chase the Devil

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A Faster Monotone Implied Volatiltty Solver [Chase the Devil]

Choi, Huh and Su have a very good paper entitled Tighter uniform bounds for Black–Scholes implied volatility and the applications to root-finding. What’s particularly great is that it gives both a decent lower bound and a proof a monotone convergence using Newton’s method starting from this(...)

Almost Explicit Implied Volatility [Chase the Devil]

Several years ago, I had explored accuracy and performance of different ways to imply the Black-Scholes volatility. Jherek Healy proposed some improvements over my naive algorithm on his blog. Recently, a Linkedin post mentioned a new paper from Wolfgang Schadner which presents an almost explicit(...)