Corridor implied volatility is obtained from model-free implied volatility by truncating the integration domain between …

information content of three option based forecasts of volatility: Black-Scholes implied volatility, model-free implied volatility … stock market. As for model-free implied volatility, two different extrapolation techniques are implemented. As for corridor … implied volatilities with respect to both Black-Scholes implied volatility and model-free implied volatility, are in favour of …

-wise comparisons, it is found that a CIV measure that is closely related to the model-free implied volatility, nearly always delivers … Jones Industrial Average Index from 1996 until 2007. Along with the popular Black-Scholes and \model-free" implied … volatility expectations, the recently proposed corridor implied volatility (CIV) measures are explored. For all pair …