To demonstrate what is intended in "Let's Be Rational", take the example S=1,K= 4.45 ,T=1,sigma=4% => call price = 7.9643474321049 E-308 , "Let's Be Rational" returns 4% exactly in IEEE 754 double precision (64 bit, 53 bit mantissa) in its standard implementation (initial guess ...

I hope that my recent paper is helpful for the discussion:  Choi et al. (2023),   https://arxiv.org/abs/2302.08758 . The paper finds quite many new IV bounds (both upper and lower) for a given price (this is main theme of the paper). Then, it also formulates a new Newton-Raphon method on the log pr...

Nice paper  jaesmine, I also had proposed the idea of solving on the log price to speed up calculations a while ago in a blog post (and based on the nice guess of Dan Stefanica and Rados Radoicic). https://quantsrus.github.io/post/implied_volatility_algorithms_go_julia/ jherekhealy, thanks for poin...

You joined this forum before Cuchulainn (with 18,934 posts) and you have bided your time until now to say something. I’m guessing that may be a record. Respect! Oh, and your paper looks nice! I joined a while ago (guess I am old enough). I often checked this forum but did not post much. Recently, t...

I hope that my recent paper is helpful for the discussion:  Choi et al. (2023),   https://arxiv.org/abs/2302.08758 . The paper finds quite many new IV bounds (both upper and lower) for a given price (this is main theme of the paper). Then, it also formulates a new Newton-Raphon method on the log pri...