Colin RowatMay 2

An explicit solution to #blackscholes implied #volatility that's 3.4× faster than SOTA benchmarks? Good work!

Even cooler that it comes out of the University of #Liechtenstein.

https://arxiv.org/pdf/2604.24480

Fabio CapelaApr 12, 2025
In options pricing, the Black-Scholes equation (∂V/∂t + 1/2σ²S²∂²V/∂S² + rS∂V/∂S - rV = 0) is a beautiful application of heat diffusion equations from physics. Mathematics connects seemingly unrelated domains in profound ways. #OptionsMath #BlackScholes #FinancialPhysics