VBA (AI generated, it at least gave the correct implied vol, also very far OTM), But if I have to use Bisection to do the Inverse Gaussian quantile, then is it really much more efficient... well I guess we can to better than this AI code ? ' ============================================================ ' Implied volatility from Schadner arXiv:2604.24480 ' Handles: ' - OTM calls ' - ITM calls ' - O…
Dan Stefanica and Rados Radoicic propose a quite good initial guess in their very recent paper An Explicit Implied Volatility Formula. Their formula is simple, fast to compute and results in an implied volatility guess with a relative error of less than 10%.
It is more robust than the rational fraction from Minquiang Li: his rational fraction is only valid for a fixed range of strikes and maturit…
