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’s particularly great is that it gives both a decent lower bound and a proof a monotone convergence using Newton’s method starting from this lower bound. The industry standard for solving the Black-Scholes implied volatility is Peter Jäckel Let’s be rational . I was wondering if one could not create a robust mathematically backed solver at least
