A Faster Monotone Implied Volatiltty Solver

Choi, Huh and Su have a very good paper entitled Tighter uniform bounds for Black–Scholes implied volatility and the applications to root-finding . What&rsquo;s particularly great is that it gives both a decent lower bound and a proof a monotone convergence using Newton&rsquo;s method starting from this lower bound. &#xA; The industry standard for solving the Black-Scholes implied volatility is…