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

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  • Paulo Castor de Castro

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.

Suggested Citation

  • Paulo Castor de Castro, 2002. "Opções sobre Dólar Comercial e Expectativas a Respeito do Comportamento da Taxa de Câmbio," Working Papers Series 39, Central Bank of Brazil, Research Department.
    • Handle: RePEc:bcb:wpaper:39
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    File URL: https://www.bcb.gov.br/content/publicacoes/WorkingPaperSeries/wps39.pdf
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