Campa, J.M.; Chang, P.H.K.; Refalo, J.F. - Centro de Estudios Monetarios y Financieros (CEMFI) - 2000
This paper uses currency option data from the BMF, the Commodities and Futures exchange in Sao Paulo, Brazil, to investigate market expectations on the Brazilian Real-U.S. dollar exchange rate from October 1994 through March 1999. Using options data, we derive implied probability density...