---
title: The implied volatility surface (also) is path-dependent
url: https://www.ml-quant.com/papers/repec/hal-journl-hal-04362544/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-10-02
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: RePEc:hal:journl:hal-04362544
source_url: https://econpapers.repec.org/RePEc:hal:journl:hal-04362544
featured: 2026-10-02
citations: unknown
topic: Derivatives & Volatility
---


# 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.

- Source: https://econpapers.repec.org/RePEc:hal:journl:hal-04362544
- Identifier: RePEc:hal:journl:hal-04362544
- Released: 2026-09-28
- First featured: Quant Letter No. 133 (2026-10-02): https://www.ml-quant.com/issues/2026-10-02/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility
- Authors: Hervé Andrès, Alexandre Boumezoued, Benjamin Jourdain

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