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Fast-Vollib: A Fast Implied Volatility Library for Pythonwith PyTorch, JAX, and CUDA Fused-Kernel Backends

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  • Raeid Saqur

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 for batched IV workloads, and a compatibility-first public API. In addition to a vectorized Halley-method IV solver, fast-vollib ships an experimental, fully-vectorized implementation of J\"ackel's "Let's Be Rational" (LBR) algorithm with NumPy/Numba, torch.compile, JAX, and Triton single-pass GPU kernels for batched option chains. This note announces the library and describes its public API surface, with source, documentation, and packaging artifacts available at: GitHub (https://github.com/raeidsaqur/fast-vollib), Docs (https://raeidsaqur.github.io/fast-vollib/), PyPI (https://pypi.org/project/fast-vollib/).

Suggested Citation

  • Raeid Saqur, 2026. "Fast-Vollib: A Fast Implied Volatility Library for Pythonwith PyTorch, JAX, and CUDA Fused-Kernel Backends," Papers 2604.27210, arXiv.org.
    • Handle: RePEc:arx:papers:2604.27210
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