There are many models available for calculating the implied volatility of an American option. The most popular method, employed by OptionMetrics and others, is probably the Cox-Ross-Rubinstein model. However, since this method is numerical, it yields a computationally intensive algorithm which may not be feasible (at least for my level of hardware) for repeated re-calculation of implied volatility on a hundreds of option contracts and underlying instruments with ever-changing prices. I am looking for an efficient and accurate closed form algorithm for calculating implied volatility. Does anyone have any experience with this problem?
The most popular closed-form approximation appears to be Bjerksund and Stensland (2002), which is recommended by Matlab as the top choice for American options, although I've also seen Ju and Zhong (1999) mentioned on Wilmott. I am interested in knowing which of these (or other) methods gives the most reasonable and accurate approximations in a real-world setting.