Peter Jäckel's LetsBeRational is an extremely fast and accurate method for obtaining Black's implied volatility from option prices with as little as two iterations to maximum attainable precision on standard(64 bit floating point) hardware for all possible inputs.
About "Let's be Rational":
"Let's Be Rational" is a paper by Peter Jäckel showing "how Black's volatility can be implied from option prices with as little as two iterations to maximum attainable precision on standard (64 bit floating point) hardware for all possible inputs."
The paper is accompanied by the full C source code, which resides at www.jaeckel.org/LetsBeRational.7z .
Copyright © 2013-2014 Peter Jäckel.
Permission to use, copy, modify, and distribute this software is freely granted,
provided that this notice is preserved.
The Software is provided "as is" without warranty of any kind, either express or implied,
including without limitation any implied warranties of condition, uninterrupted use,
merchantability, fitness for a particular purpose, or non-infringement.
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