This study examines the information content of alternative implied volatility measures for the 30 components of the Dow Jones Industrial Average Index from 1996 until 2007. Along with the popular Black-Scholes and "model-free" implied volatility expectations, the recently proposed corridor...

One way to improve the liquidity of small stocks is to subsidize the providers of liquidity. These <p> subsidies take many forms such as informational advantages, priority in trading with incoming order flow, and fee rebates for limit order traders. In this study, we examine another type of subsidy...</p>

We propose and study a flexible modeling framework for the joint dynamics of an index and a set of forward variance swap rates written on this index, allowing options on forward variance swaps and options on the underlying index to be priced consistently. Our model reproduces various empirically...