Halley
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Fast-Vollib: A Fast Implied Volatility Library for Pythonwith PyTorch, JAX, and CUDA Fused-Kernel Backends
arXiv:2604.27210v2 Announce Type: replace-cross Abstract: We present fast-vollib, an open-source Python library that provides high-performance European option pricing, implied volatility (IV) computation, and Greeks under the Black-76, Black-Scholes, and Black-Scholes-Merton models. The library is designed as a drop-in alternative to the de-facto-standard py_vollib and py_vollib_vectorized packages, with pluggable PyTorch and JAX execution backends, a CUDA fused-kernel Triton contribution...