The implied volatility surface (also) is path-dependent
The research shows that past asset price trajectories predict implied volatility movements up to two years forward, with a parsimonious SSVI model capturing this path-dependent behavior.
Featured in No. 133 on 2 Oct 2026 · 4 days after release
- Released
- 28 Sep 2026
- First featured
- No. 133 · 2 Oct 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 2 of 5
- Identifier
- RePEc:hal:journl:hal-04362544
- Authors
- Hervé Andrès et al.
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).