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q-fin.CP2026
Implying Volatility: How Fast Can We Go?
Fabien Le Floc'h, Jherek Healy
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…
q-fin.CP2022
Accurate and consistent calculation of the mean and variance in Monte-Carlo simulations
Jherek Healy
In parallelized Monte-Carlo simulations, the order of summation is not always the same. When the mean is calculated in running fashion, this may create an artificial randomness in…