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By Joseph A Cherian

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Extra resources for Information Trading, Volatility, and Liquidity in Option Markets

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N. 1988. "]ournal ofFinance (September):94964. Azariadis, C. 1981. "Journal of Economic Theory, no. 25:38& 96. Back, K 1993. " Review of Financial Studies, no. 3:435-72. , and RE. Whaley. 1987. " J o u r n a l of F i n a n c e Uune) :301-20. Bhattacharya, M. 1987. "Journal ofFinancia1 and Quantitative Analysis (March):l-15. , and P. Hillion. 1990. " Working Paper, NSEAD. Black, F. 1971. "Toward a Fully Automated Exchange, Part L" Financial AnaIystsJournal Uuly/August):29-34. , and M. Scholes. 1973.

The latter literature analyzes the behavior and forecasting ability of implied volatility as calculated from various option-pricing models, among them the Black-Scholes-Merton model. AIthough some of those studies use transaction prices, their focus is not on the microstructure of option markets. The theoretical microshcture research on option markets rarely models either the presence of volatility traders or the behavior of implied volatility. Similarly, the empirical research typically applies methods developed in the context of primary markets, which do not use implied bid-ask volatilities or the implications therein.

H , and R Whaley. 1990. " Journal ofFinance (March) :191-220. Stein, J. 1989. " Jozkrnal o f F i n a n c e (September) :IOU-23. Xjh, AM. 1990. " journal ofFinance (Septernber):1157-79.

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