8 papers
Explicit Rational Formulae for Bachelier (Normal) Implied Volatility
Fabien Le Floc'h
We present two explicit rational formulae for Bachelier, or normal, implied volatility. The formulae take the option price, forward, strike, and expiry as inputs and return the imp…
A Practical Guide to Strip Caplet Volatilities
Fabien Le Floc'h
We study caplet stripping, the problem of recovering a caplet volatility term structure consistent with quoted cap volatilities. Many academic papers on the Libor market model assu…
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…
Faster Monotone Implied Volatility Solver
Fabien Le Floc'h
We present ThiopheneIV, a Black-Scholes implied-volatility solver with a monotone core and explicit production guards. The solver starts from the simple Choi-Huh-Su L3 lower-bound…
Stochastic Expansion for the Pricing of Asian and Basket Options
Fabien Le Floc'h
We present closed analytical approximations for the pricing of basket options, also applicable to Asian options with discrete averaging under the Black-Scholes model with time-depe…
Notes on the SWIFT method based on Shannon Wavelets for Option Pricing -- Revisited
Fabien Le Floc'h
This note revisits the SWIFT method based on Shannon wavelets to price European options under models with a known characteristic function in 2023. In particular, it discusses some…