According to the Kyle (1985) model of informed trading, information in trade size is likely to effect a permanent price impact. However, two prominent structural models in the literature do not include trade size in their framework. In this paper, we present a nesting relationship of major...

In the option pricing literature, it is well known that:(i) the decrease in the smile amplitude is much slower than standard stochastic volatility models and, (ii) the term structure of the at-the-money volatility skew is approximated by a power-law function with the exponent close to zero....