Opções sobre Dólar Comercial e Expectativas a Respeito do Comportamento da Taxa de Câmbio

Paulo Castro

No 39, Working Papers Series from Central Bank of Brazil, Research Department

Abstract: This paper presents the derivation of risk neutral probability distributions implied in the prices of call options on the "commercial dollar" (in Reals, the Brazilian currency), negotiated in the Mercantile and Futures Exchange of São Paulo, Brazil. These distributions were used to analyze the expectations of the market agents about the behavior of the "commercial dollar" exchange rate.

Date: 2002-03
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Persistent link: https://EconPapers.repec.org/RePEc:bcb:wpaper:39

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