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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.

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  • $\begingroup$ Have you asked them? HELP HELP is your friend... $\endgroup$
    – assylias
    Sep 3 '15 at 11:23
  • $\begingroup$ Sorry for this naive question, but how can I ask them ? $\endgroup$
    – Jonkie
    Sep 3 '15 at 14:10
  • $\begingroup$ Press F1 F1 (Help Help) on a terminal and ask... $\endgroup$
    – assylias
    Sep 3 '15 at 14:29
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please go to {drvd} BVOL Equity Implied Volatilities Calculations paper.

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

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  • $\begingroup$ DRVD no longer works it seems. You can now find it on the OVDV help page and DOCS (if you search for 2056700 or "equity implied vol surface). Seems this keeps changing but at the moment DERI seems to offer a nice summary of their derivs offering. $\endgroup$
    – AKdemy
    Apr 26 at 7:58
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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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