We study the theoretical and empirical properties of a simple measure of market illiquidity, namely the realized Amihud, which is defined as the ratio between the realized volatility and trading volume and which refines the popular price impact measure proposed by Amihud (2002). In our model,...

This paper introduces a new computational tool for the analysis of the risks embedded in a set of prices of European-style options. The software enables the estimation of the risk-neutral density (RND) from the observed option prices by means of orthogonal polynomial expansions. Orthogonal...

We propose a non-structural method to retrieve the risk-neutral density (RND) impliedby options on the CBOE Volatility Index (VIX). The methodology is based on orthogonalpolynomial expansions around a kernel density and yields the RND of the underlyingasset without the need for a parametric...