{"id":50808141,"url":"https://github.com/wol-fi/direct_vola","last_synced_at":"2026-06-30T10:00:48.810Z","repository":{"id":354749563,"uuid":"1224995827","full_name":"wol-fi/direct_vola","owner":"wol-fi","description":"Demo code for direct Black-Scholes implied-volatility calculation from normalized call prices via the inverse-Gaussian quantile representation.","archived":false,"fork":false,"pushed_at":"2026-04-29T21:12:02.000Z","size":6,"stargazers_count":1,"open_issues_count":0,"forks_count":0,"subscribers_count":0,"default_branch":"main","last_synced_at":"2026-04-29T23:16:48.449Z","etag":null,"topics":["implied-volatility"],"latest_commit_sha":null,"homepage":"https://papers.ssrn.com/sol3/papers.cfm?abstract_id=6649499","language":"Python","has_issues":true,"has_wiki":null,"has_pages":null,"mirror_url":null,"source_name":null,"license":null,"status":null,"scm":"git","pull_requests_enabled":true,"icon_url":"https://github.com/wol-fi.png","metadata":{"files":{"readme":"README.md","changelog":null,"contributing":null,"funding":null,"license":null,"code_of_conduct":null,"threat_model":null,"audit":null,"citation":null,"codeowners":null,"security":null,"support":null,"governance":null,"roadmap":null,"authors":null,"dei":null,"publiccode":null,"codemeta":null,"zenodo":null,"notice":null,"maintainers":null,"copyright":null,"agents":null,"dco":null,"cla":null}},"created_at":"2026-04-29T20:56:21.000Z","updated_at":"2026-04-29T23:07:31.000Z","dependencies_parsed_at":null,"dependency_job_id":null,"html_url":"https://github.com/wol-fi/direct_vola","commit_stats":null,"previous_names":["wol-fi/direct_vola"],"tags_count":null,"template":false,"template_full_name":null,"purl":"pkg:github/wol-fi/direct_vola","repository_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/wol-fi%2Fdirect_vola","tags_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/wol-fi%2Fdirect_vola/tags","releases_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/wol-fi%2Fdirect_vola/releases","manifests_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/wol-fi%2Fdirect_vola/manifests","owner_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners/wol-fi","download_url":"https://codeload.github.com/wol-fi/direct_vola/tar.gz/refs/heads/main","sbom_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/wol-fi%2Fdirect_vola/sbom","scorecard":null,"host":{"name":"GitHub","url":"https://github.com","kind":"github","repositories_count":286080680,"owners_count":34961549,"icon_url":"https://github.com/github.png","version":null,"created_at":"2022-05-30T11:31:42.601Z","updated_at":"2026-05-26T15:22:16.424Z","status":"online","status_checked_at":"2026-06-30T02:00:05.919Z","response_time":92,"last_error":null,"robots_txt_status":"success","robots_txt_updated_at":"2025-07-24T06:49:26.215Z","robots_txt_url":"https://github.com/robots.txt","online":true,"can_crawl_api":true,"host_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub","repositories_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories","repository_names_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repository_names","owners_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners"}},"keywords":["implied-volatility"],"created_at":"2026-06-13T03:00:26.861Z","updated_at":"2026-06-30T10:00:48.805Z","avatar_url":"https://github.com/wol-fi.png","language":"Python","funding_links":[],"categories":["Reproducing Works, Training \u0026 Books"],"sub_categories":[],"readme":"# Explicit Black-Scholes Implied Volatility Demo Code\n\nThis repository contains demo Python and R code accompanying the paper:\n\nAn Explicit Solution to Black-Scholes Implied Volatility  \nWolfgang Schadner  \n[SSRN](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=6649499)\n\n## Scope\n\nThis repository contains demonstration implementations of the inverse-Gaussian implied-volatility formula.\nIt is **not** the fast/native implementation used for the numerical results or speed benchmark reported in the paper.\nThe higher-level scripts are arranged to make repeated runs and cross-checks easier while keeping the numerical method itself close to the paper.\n\n## Files\n\n- `example_ivol.py` - Python demo script for batched accuracy and timing comparisons against `py_vollib`\n- `example_ivol.R` - R demo script for computing implied volatility from normalized inputs and saving a short summary\n\n## Requirements\n\nFor Python:\n\n```powershell\npython -m pip install -r requirements.txt\n```\n\nFor R:\n\nThe R script uses base R functions only and does not require additional packages.\n\n## Run\n\nPython:\n\n```powershell\npython example_ivol.py\n```\n\nThis script writes `iv_accuracy_speed_summary.txt` in the working directory.\n\nUseful options:\n\n```powershell\npython example_ivol.py --runs 5 --reps 500\npython example_ivol.py --skip-lbr\npython example_ivol.py --output custom_summary.txt\n```\n\nR:\n\n```powershell\nRscript example_ivol.R\n```\n\nThis script writes `iv_r_summary.txt` in the working directory.\n\nYou can also choose the R summary output path:\n\n```powershell\nRscript example_ivol.R custom_r_summary.txt\n```\n\n## Notes\n\nThis code is provided for research and demonstration purposes only. No warranty is provided.\n","project_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Fwol-fi%2Fdirect_vola","html_url":"https://awesome.ecosyste.ms/projects/github.com%2Fwol-fi%2Fdirect_vola","lists_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Fwol-fi%2Fdirect_vola/lists"}