Where to Find Bloomberg’s Equity Implied Volatility Smile Methodology

Summary

The document asks how Bloomberg calculates implied volatility smiles for equities and mentions a possible lognormal-mixture model for stock prices. The replies point readers to Bloomberg’s BVOL equity implied volatility calculations paper as the available methodology reference. One respondent, who says they previously worked at Bloomberg, cautions that this is the extent of the disclosure they can provide.

A second reply says Bloomberg documentation is generally available to subscribers and suggests contacting its quantitative development team for further questions. The discussion itself does not explain the calculation, confirm the proposed mixture model, or provide equations, calibration details, or validation results. Its practical contribution is chiefly a pointer to the vendor’s methodology paper and support channel; anyone applying the smile should consult that primary documentation for assumptions and implementation specifics.

Key ideas

• The replies direct readers to Bloomberg’s BVOL equity implied volatility calculations paper.
• The proposed lognormal-mixture description is raised by the questioner but not confirmed in the discussion.
• The thread supplies no equations, calibration procedure, or performance evidence.
• Bloomberg subscribers are advised to consult vendor documentation or contact its quantitative team.

Tags

# Bloomberg implied volatility smile for equities


# Bloomberg implied volatility smile for equities












I was wondering if someone knows how Bloomberg does their computations for the implied volatility smile for equities.

As far as I understand, they use a lognormal mixture to model the stock prices. But I could not find any more documentation about this topic. Thanks in advance.

## Answer by theMLtrader (score 7, accepted)

https://quant.stackexchange.com/a/20677

please go to {drvd} BVOL Equity Implied Volatilities Calculations paper.

Disclamer: I was working for Bloomberg, that is as far we disclosed.

## Answer by q.t.f. (score 3)

https://quant.stackexchange.com/a/20682

Generally Bloomberg is very open with their methodologies. Look up the documentation as recommended above, and if you have further questions you can ask HELP HELP to put you in touch with someone on their quant development team for more details. As long as you are a paying subscriber it should be no problem.

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