What is the fastest way to numerically compute Black-Scholes-Merton option prices?
I'm trying to find fastest and still precise method. Currently I'm using numerical approximation of Normal cdf with 10-9 precision and standard formulae.
Is there another way to compute them numerically using any programming language without built-in libraries for option pricing and cdf computation? If any what is the speed of the algorithm in comparison with standard method and what is precision of an answer?
There is a question about approximations to the Black-Scholes formula, but there are aproximations for ATM options. And it is not obvious that this methods would show better results.