
Wolfgang Schadner, a Swiss quant, found the closed formula for the direct inversion of Black & Scholes option implied volatility ! Everyone has been using root search for ~50 years and his formula is fast. More elegant result, as no boundaries or starting value are required. You still need somewhat of a root search in the inverse Gaussian quantile, or use a smart approximation ;) Then it is down to single digit microseconds. w-schadner.com
























