Estimating risk aversion, Risk-Neutral and Real-World Densities using Brazilian Real currency options

Estimating risk aversion, Risk-Neutral and Real-World Densities using Brazilian Real currency options

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This paper uses the Liu et al. (2007) approach to estimate the optionimplied Risk-Neutral Densities (RND), real-world density (RWD), and relative risk aversion from the Brazilian Real/US Dollar exchange rate distribution. Our empirical application uses a sample of exchange-traded Brazilian Real curr...

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Bibliographic Details
Main Authors: José Fajardo, José Renato Haas Ornelas, Aquiles Rocha de Farias
Format: Article
Language:Portuguese
Published: Universidade de São Paulo 2012-12-01
Series:Economia Aplicada
Subjects:
Aversão Relativa ao Risco
Densidade Neutra ao Risco
Taxa de Câmbio
Relative Risk Aversion
Risk-Neutral Density
Exchange Rate
Online Access:http://www.scielo.br/scielo.php?script=sci_arttext&pid=S1413-80502012000400002

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