Estimating risk aversion, Risk-Neutral and Real-World Densities using Brazilian Real currency options
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...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | Portuguese |
| Published: |
Universidade de São Paulo
2012-12-01
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| Series: | Economia Aplicada |
| Subjects: | |
| Online Access: | http://www.scielo.br/scielo.php?script=sci_arttext&pid=S1413-80502012000400002 |
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