Browsing by Author "Ornelas, José Renato Haas"

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Estimating relative risk aversion, risk-neutral and real-world densities using brazilian real currency options

Ornelas, José Renato Haas; Barbachan, José Santiago Fajardo; Farias, Aquiles Rocha de
2012-04-12

Building Risk-Neutral Densities (RND) from options data can provide market-implied expectations about the future behavior of a financial variable. And market expectations on financial variables may influence macroeconomic ...
Estimating risk aversion, risk-neutral and real-world densities using brazilian real currency options

Fajardo, José; Ornelas, José Renato Haas; Farias, Aquiles Rocha de
2012

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. ...