An Alternative Approach to Fast Implied Volatility Calculation

Abstract

This paper has the task of identifying an alternative approach (in terms of a mathematical algorithm) which can determine with speed (i.e. to converge within a few iterations) the value of the implied volatility for the options. This value is of particular importance since it is the main component of the option’s price. The paper after, an initial explanation of the objectives, illustrates various alternatives and proposes the adoption of an algorithm able to quickly converge to the desired solution.